Last week we looked at the BORD pattern traded on the S&P 500 ETF ($SPY). It offered an elegantly simple setup with reasonable results. As presented, this is known as a 'single market system' meaning it was designed and built to trade one market. However, single market systems tend to be based on random noise (found through data mining or optimization) rather than a specific edge. As such they ultimately fail; what was once a profitable pattern deteriorates to the point of becoming unprofitable.
We'll discuss this in more depth in a later newsletter, but for now we want to put the BORD pattern through a simple exercise to see if it does actually have any merit as a robust setup. If it does then it should be profitable across a larger universe of stocks and not just on the single ETF we've presented. To do so we'll test it across the entire S&P 500 universe including all delisted stocks to remove survivorship bias, using a maximum of 20 positions with 5% of capital allocated to each. The test also includes commissions.