Backtest Statistics: McClellan Oscillator

McClellan Oscillator (AMO) Fear Greed Signals Backtest Results:

Trading strategy 1: Buy at the AMO first Fear Signal, Sell at the AMO first Greed Signal.
Stock: SPY
Data: McClellan Oscillator NYSE, Daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 55
Win rate: 76.36% (Winning trades: 42, Losing trades: 13) 
Total return: 175.22%
Median holding time: 28 days
Sharpe Ratio: 0.38

Trading strategy 2: Buy at the AMO first Fear Signal, Sell at the AMO first Very Greed Signal.
Stock: SPY
Data: McClellan Oscillator NYSE, Daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 27
Win rate: 70.37% (Winning trades: 19, Losing trades: 8) 
Total return: 227.52%
Median holding time: 52 days
Sharpe Ratio: 0.27

Trading strategy 3: Buy at the AMO first Very Fear Signal, Sell at the AMO first Greed Signal.
Stock: SPY
Data: McClellan Oscillator NYSE, Daily data
Tested date range: 10 Years 2012/1/1 to 2021/12/31
Number of trades matched: 34
Win rate: 76.47% (Winning trades: 26, Losing trades: 8) 
Total return: 76.47%
Median holding time: 28 days
Sharpe Ratio: 0.14

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