Buy-and-Hold as a Costed Backtest Benchmark

Summary

This document presents a passive benchmark: enter long once on the first chart bar at or after a chosen start date, hold through market moves, and close at the selected end date or near the end of available chart history so the backtest can report final equity. It is intended as a comparison for active strategies, with no entry signals, early exits, or drawdown management. The position uses nearly all equity, and the script models commission and slippage.

The evidence provided is the strategy design and its stated execution assumptions, not comparative performance results. The benchmark can be applied to any asset or timeframe, but its output depends on the asset, dates, chart data, and cost assumptions. It remains fully exposed to losses during the holding period, which the document identifies as an intentional limitation. A fair comparison requires using the same period and accounting assumptions when evaluating an active approach; the document offers no guarantee that an active strategy will outperform.

Key ideas

• The benchmark buys once at or after a configurable start date and holds until its scheduled close.
• It has no signal-based timing, early exit, or drawdown control.
• The script models commission and slippage and sizes the position just below full equity.
• Its purpose is to compare active strategies over a matching period, not to demonstrate an edge.

Tags

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