Backtested Strategies Announces BTS Strength Zones — Industry ETFs Backtest Results
The Californer/10354147

SAN FRANCISCO - Californer -- During that 23-year period, a $10,000 starting value grew to $2,455,275 for the strategy and $116,729 for SPY.

Time in Market was 99.3%, indicating near-continuous equity exposure rather than a defensive cash posture, while volatility was slightly higher at 19.5% versus 18.7% for SPY.

The drawdown profile was materially better than the benchmark's but still demanding. Maximum drawdown reached -28.9% versus -55.2% for SPY. The strategy's longest underwater period lasted 435 calendar days compared with 1,773 days for SPY. The evidence supports shallower catastrophic loss and a shorter recovery burden, not uninterrupted compounding.

The return advantage appeared in both SPY up years and SPY down years. In SPY up years, BTS Strength Zones produced 30.7% filtered CAGR versus 17.1% for SPY, with a smaller worst within-year drawdown but higher volatility. Across the three SPY down years—2008, 2018, and 2022—the strategy produced 5.0% filtered CAGR versus -21.0% for SPY, with lower volatility and a -24.2% worst within-year drawdown versus -47.6% for SPY.

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The full-period result was supported across most rolling windows. BTS Strength Zones beat SPY on CAGR in 95.9% of rolling three-year windows and all rolling five-year windows, while producing a higher Sharpe ratio in 94.6% and 100.0%, respectively. The strategy's worst rolling CAGR remained positive at 6.1% over three years and 11.9% over five years. Lower volatility appeared in only 22.4% of three-year windows and 30.9% of five-year windows, reinforcing the return-led rather than low-volatility interpretation.

Backtest results follow BTS Methodology, which sets common conventions for data and calendar alignment, execution pricing, missing-data and end-of-range handling, trading costs and spread-aware slippage, portfolio accounting, cash and dividend treatment, benchmark conventions, reporting windows, performance metric calculations, and, where reported, market-capacity screening.

Read the full press release:
https://www.backtestedstrategies.com/articles/bts-strength-zones-industry-etfs-backtest-results/

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Access the BTS Strength Zones — Industry ETFs Backtest Results report:
https://www.backtestedstrategies.com/strategies/bts-strength-zones-industry-etfs-backtest/

About Backtested Strategies
Backtested Strategies (BTS), operated by Marquantex LLC, is a financial research publisher built around the BTS Methodology, a standardized framework for testing trading strategies with stated rules, consistent assumptions, benchmark discipline, cost and slippage treatment, portfolio accounting, and clear interpretation so readers can evaluate market ideas through evidence rather than hype or unsupported claims.