BTS Strength Zones — U.S. Major Index ETFs Backtest Results

Brian Ernest Metzger on August 4, 2026

A long-only, unleveraged tactical allocation model using published BTS Strength Zones across QQQ, MDY, IJR and IYT produced 14.5% CAGR versus 10.6% for buy-and-hold SPY over the 2004–2025 whole-calendar-year backtest. During the 22-year period, a $10,000 starting value grew to $198,004 for the strategy versus $91,344 for SPY.

Results

BTS Strength Zones — U.S. Major Index ETFs
Buy-and-hold SPY
Line chart comparing BTS Strength Zones — U.S. Major Index ETFs and buy-and-hold SPY daily account growth from 2004 through 2025, both starting from a $10,000 inception anchor. The strategy finishes near $198,000 versus about $91,000 for SPY.
Figure 1. BTS Strength Zones — U.S. Major Index ETFs versus buy-and-hold SPY over the 2004–2025 backtest period. Starting capital: $10,000. Inception-anchored daily account-equity path on a linear scale.

Time in Market was 98.8%, indicating near-continuous market exposure. Full-window volatility was 17.6% versus 18.8% for SPY.

Maximum drawdown was -26.1% versus -55.2% for SPY. A drawdown of more than 26% remained substantial.

In SPY up years, BTS Strength Zones produced 19.6% filtered CAGR versus 16.6% for SPY. Across the three SPY down years—2008, 2018 and 2022—the strategy produced -13.0% filtered CAGR versus -21.0% for SPY. The result shows smaller compounded losses across those selected down years, not loss avoidance.

BTS Strength Zones beat SPY on CAGR in 91.3% of rolling three-year windows and 93.2% of rolling five-year windows. The strategy’s worst rolling five-year CAGR was 4.2% versus -6.7% for SPY.

Methodology

The model applies published BTS Strength Zones across QQQ, MDY, IJR and IYT. A portfolio-level VIX 50/35 regime controls entry. Entered ETFs are equal-weighted at target-decision events and held through the scheduled end of each BTS Strength Zone. When no BTS Strength Zone is entered, the portfolio holds SPY while the regime is ON and SHY while it is OFF.

Backtest results follow BTS Methodology.

Caveats

The published BTS Strength Zones are derived from historical data and should be understood as in-sample findings, not independent out-of-sample validation.

The full-window risk advantage did not persist in the 2021–2025 preview. Strategy volatility was 18.5% versus 17.1% for SPY, and maximum drawdown was -26.1% versus -24.5%. The full-window risk comparison should not be generalized to every subperiod.

Implementation remained active at 34.4 modeled executions per year. SPY up/down-year figures are filtered-year diagnostics rather than continuous-window backtests.

Read the report

The full Strength Zones Backtest: Major Index ETFs report provides complete strategy rules and mechanics, detailed performance and risk results, market-capacity analysis, return tables, rolling-window diagnostics and implementation guidance.

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