BTS Strength Zones — S&P 100 Stocks Backtest Results
A long-only, unleveraged tactical allocation model using published BTS Strength Zones across a fixed universe of current S&P-100 stocks produced 36.1% CAGR versus 11.3% for buy-and-hold SPY over the 2003–2025 whole-calendar-year backtest. During the 23-year period, a $10,000 starting value grew to $12,026,423 for the strategy versus $116,729 for SPY.
Results
Time in Market was 99.6%, indicating near-continuous market exposure. Full-window volatility was 19.1% versus 18.7% for SPY.
Maximum drawdown was -35.7% versus -55.2% for SPY. A drawdown greater than 35% remained severe.
In SPY up years, BTS Strength Zones produced 42.5% filtered CAGR versus 17.1% for SPY. Across the three SPY down years—2008, 2018 and 2022—the strategy produced 0.3% filtered CAGR versus -21.0% for SPY.
BTS Strength Zones beat SPY on CAGR in all 241 rolling three-year windows and all 217 rolling five-year windows.
Methodology
The model applies published BTS Strength Zones to a fixed universe of current S&P-100 stocks. Stocks become eligible when their source history begins. A portfolio-level VIX 50/35 regime controls entry. Entered stocks 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 backtest uses a fixed universe of current S&P-100 stocks rather than point-in-time historical index membership. Results should therefore be interpreted as a seasonality study of that fixed stock set, not as a reconstruction of the historical S&P-100.
The published BTS Strength Zones were defined from historical data through 2025. The results are therefore in-sample rather than independent out-of-sample validation.
Implementation remained high at 1,051.1 modeled executions per year. Equal weighting can also create correlated exposure when related mega-cap stocks have overlapping BTS Strength Zones.
SPY up/down-year figures are filtered-year diagnostics rather than continuous-window backtests.
Read the report
The full Strength Zones Backtest: S&P 100 Stocks report provides complete strategy rules and mechanics, detailed performance and risk results, market-capacity analysis, return tables, rolling-window diagnostics and implementation guidance.
About Backtested Strategies
Backtested Strategies (BTS) is a financial research publisher operated by Marquantex LLC, focused on systematic trading strategies, rigorous backtests and market tools for serious investors. BTS publishes backtests under a standardized, institutional-grade methodology that makes strategy rules, assumptions, benchmarks, trading-cost treatment, portfolio accounting and reporting conventions explicit. Its research is designed to help investors judge strategy behavior, risk, implementation demands and portfolio fit with the full structure of each test in view.