Buy-and-Hold as a Benchmark for Active Strategies

Summary

This document presents a passive benchmark: invest nearly all available equity once, on the first bar at or after a chosen start date, then maintain the position through the selected period. The strategy has no indicators, timing signals, or response to market conditions. Its purpose is to show what an active approach must outperform over the same interval, ideally after accounting for risk.

The position closes at the configured end date or near the end of available chart history so the backtest can record final equity. The document specifies 0.1% commission per side and three ticks of slippage. Sizing at 99.95% is described as a workaround for a platform rounding artifact, with negligible intended effect on exposure. No performance results or comparative tests are provided. The benchmark can expose an investor to the full drawdown throughout the holding period, and the document notes that holding through bear markets can be psychologically difficult. Its broad asset and timeframe claims do not address differences in market access, trading costs, or the suitability of a passive position for any particular instrument.

Key ideas

• The strategy buys once on the first bar at or after its configured start date and then holds.
• It has no signal logic, early exit, or active risk controls.
• The position closes at the end date or near the end of available chart history for backtest accounting.
• The stated cost assumptions are 0.1% commission per side and three ticks of slippage.
• The benchmark entails full-period drawdown exposure and is meant for comparison with active strategies.

Tags

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