S&P 500 Backtest – Buy and Hold vs AVALON

What is the AVALON Backtester?

The free AVALON Backtester gives you an overview how your investment would have developed in the past using the AVALON S&P 500 futures trading strategy compared to a S&P 500 buy and hold strategy.
Many professional investors use the S&P 500 stock index as a comparison for their portfolio. Therefore, the AVALON backtester provides you with the corresponding equivalent values for a S&P 500 buy and hold strategy.
Use different time periods to see how your capital would have developed in good or bad economic times. Change your start capital.
Work with different risk values to see the impact on your profit. Consider not only the profit, but also the decrease of your capital (drawdown) within the period or individual trades. Use the chart view to graphically represent periods or trades. Compare the AVALON strategy with the buy and hold strategy of the S&P 500 Index in the chart view.
Backtest the AVALON S&P 500 futures trading strategy now!

Help AVALON Backtester Input Parameters

Choose between the E-Mini S&P 500 future and Micro E-Mini S&P 500 future. The E-Mini goes back to the year 2005. The Micro E-Mini to 2019.
To extend the backtest periods until 1962, we offer the E-Mini and Micro E-Mini simulation. They are based on the underlying Standard & Poor’s 500 stock index and go back to 1962. Since the futures are based on the S&P 500 stock index, the simulation is very well suited to test the AVALON S&P 500 futures trading strategy in earlier periods.

Choose if you want to reinvest your profits after each trade. If you reinvest your profits, you can buy more contracts on the next trade. This usually means that you can achieve higher overall profits in less time. However, it also increases the loss in case of losing trades.

Choose your tax rate. The tax is deducted from your profit at the beginning of the year. Losses are not carried forward to the next year.


AVALON calculates the position size depending on the absolute drawdown single trade. This is the largest drawdown within a trade during the backtesting period from 1962 to today. It amounts to 11 %. Traders who expect that these values will not be exceeded in the future choose the profit/risk ratio “high”. Traders who expect a drop that exceeds the values of 11% have the possibility to choose a profit/risk level that is above these values. This setting always calculates the maximum number of contracts possible with these values, considering the current margin requirements.

Profit/RiskAbsolute drawdown single tradeStop lossMax. trade capital loss single tradeHas the stop loss been triggered since 1962 until today?
High11% 11% ~64% No
Medium20% 20%~76% No
Medium/Low30% 30% ~83% No
Low40% 40% ~86% No
Profit/Risk Levels

The higher the percentage you choose, the further the price can go against you. For this additional security, you can buy fewer contracts because you have to deposit more margin. This reduces your profit. On the other hand, you stay longer in the trade and can withstand periods that exceed the maximum stop loss of the past.
When a stop loss is triggered, losses are realized. The further away this stop is, the higher the losses will be. On the other hand, the probability that the stop loss will be triggered also decreases.
If a price drop still exceeds the profit/risk level you have chosen, AVALON will use stop loss orders to protect the capital you are not using for the current trade.

The “auto” function automatically adjusts the profit/loss level according to the gross profit. See following table.

Gross profitProfit/Risk
Profit/Risk “auto” function

Select a percentage for the applied margin. The margin to be deposited for the E-Mini and Micro E-Mini is determined by the Chicago Mercantile Exchange (CME) and is taken over daily by the respective brokers. It is typically around 5%, but may increase as market volatility increases. See CME:Group Margins

Select the initial capital you would like to invest in the AVALON strategy. It is important to keep in mind that under certain circumstances 100% of this capital can be lost despite the great potential for return. Therefore only invest capital that you do not need for your livelihood or retirement!

Enter the start and end date of the backtest period. The minimum start date is set automatically depending on the selected instrument and market data availability. Use the simulation instruments for longer periods.

Help AVALON Backtester Summary

Net profit includes taxes during the backtest period. Each backtest period consists of at least one or more trades.

Net average yearly return:
The average annual return including tax deduction. Also known as CAGR Compound Annual Growth Rate.

Mean leverage:
Mean leverage shows the average leverage applied during the backtest period.

Max. drawdown:
The max. drawdown indicates the maximum decrease in gross profit from a realized profit peak during the backtest period. The initial capital used is included in the calculation. The value is calculated at the end of each trade.

Abolute drawdown:
The absolute drawdown shows by what percentage the invested initial capital has decreased during the backtest period. The value is calculated at the end of each trade.

Help AVALON Backtester Details

Profit factor:
The profit factor is the gross profit divided by the gross loss within the backtest period.

Percent profitable:
This ratio is calculated by dividing the number of successful trades by the total number of trades during the backtest period.

Max. drawdown points:
The max. drawdown points indicate the maximum decrease of points from a realized profit peak within the backtest period. The value is calculated at the end of each trade.
This type of calculation is used in the Strategy Analyzer of the NinjaTrader.

Absolute drawdown single trade:
Absolute drawdown single trade points shows by what percentage the capital invested in a single trade has decreased. The percentage of the trade with the highest decrease is displayed. If this value falls below the stop loss, the position will be closed by a stop loss order. The value is calculated within the trade.