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Writer's pictureDayTraderPlaybook

Day Trading vs Swing Trading: Better Together

At DayTraderPlaybook, we have always been dedicated to evolving and expanding our offerings based on market trends and our users' requirements. Originally focusing exclusively on day trading strategies, as suggested by our platform's name, we recently diversified to include swing trading strategies as well. Now we feature seven day trading strategies and an equal number of swing trading ones.


Prompted by this expansion, we decided to conduct an analysis comparing the cumulative portfolios of day trading strategies versus those of swing trading strategies. The goal was to discern which approach yielded superior results over the previous year.


Methodology


To construct the cumulative portfolios for our day and swing strategies, we built a Python program. This program aggregates trades for any set of strategies downloaded from Trading View, a platform that lets you access the historical list of trades for any strategy via the Strategy Tester's List of Trades, downloadable as a CSV file.


Trading View - Download Button


Our Python program generates critical portfolio metrics such as Total Net Profit, Win Rate, Profit Factor, and Calmar Ratio. It also plots the Monthly Profit / Loss Chart. This post will delve into the performance analysis of our 5min day trading strategies and our swing strategies.


Day Trading Strategies


The first portfolio consists of the following 5min day trading strategies: Altair, Mercury, Jupiter, Gemini, Mars, Polaris, and Virgo. These strategies were analyzed over the past year from July 2022 to July 2023 (unfortunately, Trading View doesn't allow to backtest 5min strategies beyond the last 12 months). As usual, our assumption is that each strategy trades only 1 NQ contract in its dedicated sub-account, and our backtests incorporate a $1.5 commission per contract and 2 ticks of slippage. The cumulative portfolio results for these strategies are:

  • Total Net Profit: $562K

  • Win Rate: 41%

  • Profit Factor: 1.65

  • Calmar Ratio: 30.8

The Monthly Profit / Loss chart for these seven 5min day trading strategies shows profitable months up until July 2023, which posted the first loss. This downturn is somewhat unexpected since the Nasdaq recorded a positive monthly return that same month. As most of the 5min day trading strategies lean towards long positions, we hypothesize that the shrinking intraday range for the Nasdaq index, resulting in choppy sessions, could have contributed to this trend. Another contributing factor might be a shift in Nasdaq's intraday patterns: notably, the traditionally strong bullish Thursdays and Fridays started showing weakness in July 2023.


Monthly Profit / Loss Chart, 5min Day Trading Strategies

Swing Trading Strategies


Our second portfolio includes the following swing trading strategies: Saturn, Vega, Scorpio, Leo, Libra, Rigel, and Trident. These strategies were also evaluated from July 2022 to July 2023 under the same assumptions and conditions as the day trading strategies. The results for this portfolio are:

  • Total Net Profit: $564K

  • Win Rate: 67%

  • Profit Factor: 2.9

  • Calmar Ratio: 21.3

The Monthly Profit / Loss chart for these swing trading strategies shows a consistent profitability streak for the last 12 months, including July 2023.


Monthly Profit / Loss Chart, Swing Trading Strategies


Although both day and swing trading strategies produced comparable total Net Profits, the swing trading strategies exhibited a higher Profit Factor. The Calmar Ratio, on the other hand, was more prominent in the day trading portfolio. However, the standout difference is that the swing trading portfolio recorded 12 straight profitable months, whereas the day trading portfolio experienced its first loss in July 2023.


Intrigued by these results, we decided to take our analysis a step further by merging both portfolios into one.


Combined Portfolio


We ran our Python program again to generate the cumulative results for all 14 strategies. The results came out as follows:

  • Total Net Profit: $1.12m

  • Profit Factor: 1.97

  • Win Rate: 43%

  • Calmar Ratio: 46.5

As expected, the combined portfolio showed profitability for every month in the past year.


Combined Portfolio Profit Chart, 14 strategies


Both day and swing trading strategies have their unique strengths and offer varied risk-reward ratios. However, combining them can lead to consistent profitability and help diversify risk, proving the old adage that there is strength in diversity.


The DayTraderPlaybook team is committed to continuing our analyses and sharing our findings to help traders make informed decisions. Stay tuned for more insights!


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1 Comment


Vincent Colombé
Vincent Colombé
Aug 06, 2023

Brilliant!

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