The date range for the set spans from 05/03/1973 to 12/31/1996.
First up, here are the stats for a relative momentum "market timing' system, i.e. the 12-month ROC of stocks subtracted by the 12-month ROC of T-Bills and if > 0 go long, else stay in cash:
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 9096.77 30421.16
Net Profit 7330.77 28655.16
Net Profit % 415.11% 1622.60%
Exposure % 74.80% 100.00%
Net Risk Adjusted Return % 554.96% 1622.60%
Annual Return % 7.19% 12.82%
Risk Adjusted Return % 9.61% 12.82%
Total transaction costs 881.36 324.77
Max. trade drawdown -1625.93 -3278.71
Max. trade % drawdown -29.77 -32.49
Max. system drawdown -1688.2 -3278.71
Max. system % drawdown -30.85% -32.49%
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 12208.18 30421.16
Net Profit 10442.18 28655.16
Net Profit % 591.29% 1622.60%
Exposure % 75.58% 100.00%
Net Risk Adjusted Return % 782.34% 1622.60%
Annual Return % 8.54% 12.82%
Risk Adjusted Return % 11.29% 12.82%
Total transaction costs 1812.03 324.77
Max. trade drawdown -2004.27 -3278.71
Max. trade % drawdown -29.77 -32.49
Max. system drawdown -2156.65 -3278.71
Max. system % drawdown -31.93% -32.49%
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 3149.28 2630.58
Net Profit 1383.28 864.58
Net Profit % 78.33% 48.96%
Exposure % 55.74% 100.00%
Net Risk Adjusted Return % 140.52% 48.96%
Annual Return % 7.58% 5.16%
Risk Adjusted Return % 13.59% 5.16%
Total transaction costs 23.49 11
Max. trade drawdown -390.48 -1230.68
Max. trade % drawdown -15.87 -44.14
Max. system drawdown -390.15 -1230.68
Max. system % drawdown -15.74% -44.14%
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 2935.15 2630.58
Net Profit 1169.15 864.58
Net Profit % 66.20% 48.96%
Exposure % 56.96% 100.00%
Net Risk Adjusted Return % 116.22% 48.96%
Annual Return % 6.62% 5.16%
Risk Adjusted Return % 11.63% 5.16%
Total transaction costs 66.06 11
Max. trade drawdown -377.88 -1230.68
Max. trade % drawdown -15.87 -44.14
Max. system drawdown -377.79 -1230.68
Max. system % drawdown -15.83% -44.14%
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 4613.77 3541.49
Net Profit 2847.77 1775.49
Net Profit % 161.26% 100.54%
Exposure % 58.89% 100.00%
Net Risk Adjusted Return % 273.83% 100.54%
Annual Return % 10.35% 7.40%
Risk Adjusted Return % 17.58% 7.40%
Total transaction costs 12.4 5.31
Max. trade drawdown -500.28 -1112.24
Max. trade % drawdown -17.76 -50.89
Max. system drawdown -499.82 -1112.24
Max. system % drawdown -17.66% -50.89%
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All trades Buy&Hold (~SPY)
Initial capital 1766 1766
Ending capital 3983.24 3541.49
Net Profit 2217.24 1775.49
Net Profit % 125.55% 100.54%
Exposure % 56.44% 100.00%
Net Risk Adjusted Return % 222.46% 100.54%
Annual Return % 8.70% 7.40%
Risk Adjusted Return % 15.42% 7.40%
Total transaction costs 21.47 5.31
Max. trade drawdown -556.5 -1112.24
Max. trade % drawdown -17.76 -50.89
Max. system drawdown -627.32 -1112.24
Max. system % drawdown -19.85% -50.89%