Robustness Score: 54/100 across the curated case set. Median return -8.9%, 5th-percentile -55.7%.
Model results from 456 simulation runs across curated historical market phases and synthetic stress tests, aggregated by market regime.
Values are model estimates: average and range (±1 standard deviation) from Monte Carlo variations across historical market phases and synthetic stress tests. Not a prediction of future performance, not investment advice.
Stocks & indices climb over weeks or months — like Bull Run 2017 or Tech Rally 2021.
Market drifts directionless inside a range — like SPY 2015 or Range 2011–2012.
Low volatility, muted price action — like mid-2017 or pre-Lehman 2007.
Large daily swings, vol spikes — like the February 2018 vol shock.
Markets decline over an extended period — like Dotcom Bust 2001 or 2022 Bear Market.
Sudden sharp drawdowns, liquidity stress — like Lehman 2008 or COVID Crash 2020.
Aggregation note: Cases can contribute to multiple regimes — a crash counts as both "Market Crash" and "High Volatility", for example. Range combines within-subtype and between-subtype spread. Total 810 case contributions across 9 failure modes.
Your strategy returned -28.1% on average across sustained downtrends (101 cases). Add a trend filter (e.g. only trade above SMA-200) so you stay flat in declines.
Model-based scenario simulation. All values are produced by computational market models — curated historical market phases and synthetic stress tests with Monte Carlo variations. They describe how the strategy behaves in the modelled scenarios, not future performance in live markets.
Not investment advice, not financial analysis under § 34b WpHG (German Securities Trading Act), not a recommendation to buy or sell. Past or simulated performance is not a reliable indicator of future results.
Strategy performance across curated market episodes — real historical periods plus synthetic stress scenarios. Each case is chosen to test a distinct failure mode of trading strategies.
How robust is buy and hold S&P 500? Backtest simulation results.
In model-based simulations across 456 scenario runs, Buy and Hold S&P 500 scored 54/100 on robustness — classified as Weak. Worst-case simulated drawdown (P95): 58.0%. Robustness Score: 54/100 across the curated case set. Median return -8.9%, 5th-percentile -55.7%.
These results are based on synthetic data under simplified assumptions and do not constitute a forecast or recommendation.
Other strategies in the catalog tested on the same instrument or built around the same indicator family.