Equity strategy backtester

I wanted to test simple trading rules on real data before trusting them, so I built a backtester.

1. 01Automated signal generation and P/L tracking for SMA and RSI strategies over five years of S&P data.
2. 02Optimised the parameters to improve the Sharpe ratio.
3. 03Tested risk-management tools on top of each strategy.

In-sample, a 20/200-day crossover matched buy-and-hold over five years (+70.5% against +70.4%) with less than half the drawdown, lifting the Sharpe ratio from 0.48 to 0.70.

• Three trades. At 20/200 the strategy traded three times in five years, far too few to show the rule works; the 100% win rate means nothing.
• No out-of-sample test. The settings were searched on the same five years they're judged on, so the best one (20/225) is fitted to this history.
• One instrument, one regime: SPY only, over a window that was mostly a bull market with one drawdown (2022).
• Prices exclude dividends and cash earns nothing while out of the market, which understates both sides, buy-and-hold most.
• Costs are $1 a trade with fills at the next open: no spread, slippage or tax.

• Excel
• VBA