A 1.6x Long-Only S&P 500 Benchmark with Trading Costs

Summary

This script defines a long-only S&P 500 benchmark that holds a position sized at 160% of account equity during a selected backtest window. It enters when the window is active and the strategy has no long position, then closes the position when the window ends. The stated comparison is against a standard buy-and-hold benchmark over the same period.

The model includes commission, slippage, and a long margin assumption, making its results sensitive to those settings and to the selected market data and dates. The document describes expected leverage-related behavior but supplies no detailed performance results. It also warns that higher exposure brings larger drawdowns and margin risk. This is a historical comparison tool, not a predictive signal or evidence that leveraged exposure will outperform in other periods or under live trading conditions.

Key ideas

• The benchmark maintains long exposure to the S&P 500 only during a configured time window.
• Position sizing targets 160% of equity, creating leveraged exposure.
• The backtest specifies commission, slippage, and a long margin requirement.
• The stated comparison is with buy and hold over the same historical window.
• Leverage increases drawdown and margin risk, and the document gives no detailed performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.