Know Sure Thing

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Strategy

Methodology

This strategy is backtested on daily OHLCV price data across major US equity indices and ETFs. Entry and exit signals are generated from the strategy's indicators with no lookahead bias — trades execute at the open of the bar following the signal.

Performance metrics are computed per symbol and shown individually. The parameter optimization section (where available) runs a grid search over the strategy's key parameters, optimizing for Sharpe ratio. Transaction costs and slippage are not modeled.

The signal logic and indicator code for this strategy is shown in the methodology code section below.

Methodology

Know Sure Thing (KST) combines four smoothed ROC values with increasing weights. Enters long when KST crosses above its signal line, exits on the reverse. Designed to capture major market cycles.

Implementation

class KnowSureThing(Strategy):
    r1,r2,r3,r4 = 10,15,20,30
    s1,s2,s3,s4 = 10,10,10,15
    sig_n = 9

    def init(self):
        c = pd.Series(self.data.Close)
        kst = 100*(c.pct_change(self.r1).rolling(self.s1).mean()*1 + c.pct_change(self.r2).rolling(self.s2).mean()*2 + c.pct_change(self.r3).rolling(self.s3).mean()*3 + c.pct_change(self.r4).rolling(self.s4).mean()*4)/10
        self.kst = self.I(lambda: kst, name="KST")
        self.signal = self.I(lambda: kst.ewm(span=self.sig_n, adjust=False).mean(), name="Signal")

    def next(self):
        if crossover(self.kst, self.signal) and not self.position: self.buy()
        elif crossover(self.signal, self.kst) and self.position: self.position.close()

Performance metrics

Total return+16.884%
Net profit$168,845
Gross profit$566,552
Gross loss$413,073
CAGR+2.396%
Annualized return+2.396%
Monthly average return+0.238%
Median monthly return+1.784%
Best month return+12.393%
Worst month return-7.074%
Rolling 1-month return+21.128%
Return per trade+0.403
Log return CAGR+57.699%
Compounded vs simple return difference-7.034%

Equity curves

Chart for symbol:

Charts & distributions

2024-02 → 2026-04 · 5-year daily data

Equity curve vs ^GSPC — buy/sell signals

Strategy equityIndex (normalized)▲ Buy▼ Sell

24 trades · green dashes = buy entries · red dashes = sell exits

Drawdown (underwater)

Rolling 1-month Sharpe

Rolling 1-month return (%)

Period return (≈ monthly)

Return distribution (bar returns)

MAE vs MFE (trades)

Rolling 12m Beta

Rolling 12m correlation

Monthly returns (run)

Performance Matrix

Total return+4.208%
Net profit$42,080
Gross profit$437,020
Gross loss$372,800
CAGR+1.247%
Annualized return+1.247%
Monthly average return+0.151%
Median monthly return-2.700%
Best month return+13.874%
Worst month return-10.861%
Rolling 1-month return+21.714%
Return per trade+0.172
Log return CAGR-5.985%
Compounded vs simple return difference-6.627%