BackAlpha
AAPL (Apple Inc.) EMA(30)/EMA(70) and EMA(10)/EMA(20) crossover strategy - with 4.0x leverage via call options
Backtest a AAPL (Apple Inc.) crossover strategy: it buys when 30-day EMA crosses above 70-day EMA by 1.0% of the stock price, it sells when 10-day EMA falls below 20-day EMA by 1.5% of the stock price. Uses 4.0x leverage via call options with 4.0% annual time decay. Uninvested cash earns 4.0% risk-free interest.
Backtest Assumptions and Key Details
- If the strategy involves regular stock positions, we use the adjusted close price for backtesting. This reflects total return by incorporating dividends.
- If the strategy uses call options to simulate leveraged exposure, we instead use the close price (not adjusted), because dividends are not received when holding options.
- When using call options, we simulate time decay in a simplified way. You can specify a time decay rate (e.g., 3%), which means that if the stock price stays flat for one year, the strategy loses 3% of the current stock price per share of exposure due to decay.
- If leverage is applied via margin borrowing, we enforce a 25% maintenance margin requirement (as set by FINRA). This places a hard cap at 4x leverage, beyond which a margin call is immediate. In practice, 3x leverage is the more realistic limit, since the risk of a margin call increases sharply beyond that.
- All trades are assumed to execute at the closing price on the day a signal occurs.
- The backtest includes realistic cash flow effects, such as interest earned on idle cash and borrowing costs incurred when using margin.
Performance Overview
Portfolio Value Trend (Normalized)
Over 44.56 years, portfolio value grew from $10,000.00 to $0.00.
Beginning with an initial investment of $10,000.00 on 1980-12-12, the portfolio value reached a value of $0.00 by 2025-07-05. This represents a -100.00% total gain over 44.56 years, equivalent to -100.00% annualized. The return is negative, indicating the strategy or asset declined in value during the period. This could reflect poor timing, asset underperformance, or unfavorable market conditions.
Drawdown and Risk
The maximum drawdown recorded during this period was 100.00%. This drawdown began after a peak portfolio value of $10,018.27 on 1980-12-29, and reached its lowest point on 1981-02-02 when the portfolio value fell to $0.00. The drawdown lasted for 35 days.
Maximum Drawdown
Max drawdown: 100.00% over 35 days.
This investment experienced an extreme decline, reflecting exceptional volatility or exposure to severe market stress. Such drawdowns are typically seen in early-stage, speculative, or high-beta assets. The maximum drawdown lasted over a month, which is fairly common during pullbacks or short-term volatility spikes.
The Calmar Ratio — annualized return divided by maximum drawdown — was -1.00, reflecting the tradeoff between return and volatility. This ratio reflects negative or unstable performance — the strategy either lost value or experienced extreme drawdowns.
What the Strategy Suggests Today
The 30-day EMA is $203.46, and the 70-day EMA is $207.00, for a difference of $-3.54. The current stock price is $213.55, and 1.0% of that is $2.14. Since the difference is insufficient and does not exceed the threshold, the buy signal is not active.
The 10-day EMA is $205.95, and the 20-day EMA is $203.80, for a difference of $2.15. The current stock price is $213.55, and 1.5% of that is $3.20. Since the difference is insufficient and does not exceed the threshold, the sell signal is not active.
If you have been following this strategy, you are currently in cash. No buy signal is active today. The strategy recommends waiting patiently in cash until a clear entry point emerges.
Transaction Timeline
We began our backtest on 1980-12-12 with $10,000.00 starting capital.
On 1980-12-29, the 30-day EMA at $0.13 crossed above the 70-day EMA at $0.13, exceeding it by 1% of the stock price ($0.16). We invested $10,018.27 — which includes $18.27 in interest earned while holding cash for 17 days — gaining exposure to 249,344.09 equivalent shares.
On 1981-02-05, the 10-day EMA at $0.13 fell below the 20-day EMA at $0.13 by 1.5% of the stock price ($0.13), triggering our exit. After holding the position for 38 days, we exited leaving $1,645.01 in available cash.
On 1981-05-22, the 30-day EMA at $0.12 crossed above the 70-day EMA at $0.12, exceeding it by 1% of the stock price ($0.14). We invested $1,663.85 — which includes $18.83 in interest earned while holding cash for 106 days — gaining exposure to 47,515.69 equivalent shares.
On 1981-07-06, the 10-day EMA at $0.12 fell below the 20-day EMA at $0.13 by 1.5% of the stock price ($0.11), triggering our exit. After holding the position for 45 days, we exited leaving $252.80 in available cash.
On 1981-12-30, the 30-day EMA at $0.09 crossed above the 70-day EMA at $0.09, exceeding it by 1% of the stock price ($0.10). We invested $257.65 — which includes $4.85 in interest earned while holding cash for 177 days — gaining exposure to 10,434.03 equivalent shares.
On 1982-01-13, the 10-day EMA at $0.09 fell below the 20-day EMA at $0.09 by 1.5% of the stock price ($0.08), triggering our exit. After holding the position for 14 days, we exited leaving $58.13 in available cash.
On 1982-08-27, the 30-day EMA at $0.06 crossed above the 70-day EMA at $0.06, exceeding it by 1% of the stock price ($0.08). We invested $59.56 — which includes $1.43 in interest earned while holding cash for 226 days — gaining exposure to 3,162.42 equivalent shares.
On 1983-07-14, the 10-day EMA at $0.21 fell below the 20-day EMA at $0.22 by 1.5% of the stock price ($0.21), triggering our exit. After holding the position for 321 days, we exited leaving $462.39 in available cash.
On 1984-01-18, the 30-day EMA at $0.11 crossed above the 70-day EMA at $0.11, exceeding it by 1% of the stock price ($0.13). We invested $471.82 — which includes $9.43 in interest earned while holding cash for 188 days — gaining exposure to 14,704.34 equivalent shares.
On 1984-02-06, the 10-day EMA at $0.11 fell below the 20-day EMA at $0.12 by 1.5% of the stock price ($0.10), triggering our exit. After holding the position for 19 days, we exited leaving $106.93 in available cash.
On 1984-03-05, the 30-day EMA at $0.12 crossed above the 70-day EMA at $0.11, exceeding it by 1% of the stock price ($0.12). We invested $107.25 — which includes $0.32 in interest earned while holding cash for 28 days — gaining exposure to 3,592.36 equivalent shares.
On 1984-04-04, the 10-day EMA at $0.11 fell below the 20-day EMA at $0.11 by 1.5% of the stock price ($0.11), triggering our exit. After holding the position for 30 days, we exited leaving $69.78 in available cash.
On 1984-04-25, the 30-day EMA at $0.12 crossed above the 70-day EMA at $0.12, exceeding it by 1% of the stock price ($0.12). We invested $69.94 — which includes $0.16 in interest earned while holding cash for 21 days — gaining exposure to 2,268.40 equivalent shares.
On 1984-06-28, the 10-day EMA at $0.12 fell below the 20-day EMA at $0.13 by 1.5% of the stock price ($0.12), triggering our exit. After holding the position for 64 days, we exited leaving $55.35 in available cash.
On 1984-12-26, the 30-day EMA at $0.12 crossed above the 70-day EMA at $0.12, exceeding it by 1% of the stock price ($0.12). We invested $56.44 — which includes $1.09 in interest earned while holding cash for 181 days — gaining exposure to 1,830.51 equivalent shares.
On 1985-02-28, the 10-day EMA at $0.12 fell below the 20-day EMA at $0.12 by 1.5% of the stock price ($0.11), triggering our exit. After holding the position for 64 days, we exited leaving $31.39 in available cash.
On 1985-10-29, the 30-day EMA at $0.08 crossed above the 70-day EMA at $0.07, exceeding it by 1% of the stock price ($0.08). We invested $32.22 — which includes $0.83 in interest earned while holding cash for 243 days — gaining exposure to 1,614.85 equivalent shares.
On 1986-08-05, the 10-day EMA at $0.14 fell below the 20-day EMA at $0.15 by 1.5% of the stock price ($0.14), triggering our exit. After holding the position for 280 days, we exited leaving $131.01 in available cash.
On 1986-08-18, the 30-day EMA at $0.15 crossed above the 70-day EMA at $0.15, exceeding it by 1% of the stock price ($0.16). We invested $131.20 — which includes $0.18 in interest earned while holding cash for 13 days — gaining exposure to 3,323.01 equivalent shares.
On 1987-10-23, the 10-day EMA at $0.38 fell below the 20-day EMA at $0.42 by 1.5% of the stock price ($0.32), triggering our exit. After holding the position for 431 days, we exited leaving $634.83 in available cash.
On 1988-03-03, the 30-day EMA at $0.37 crossed above the 70-day EMA at $0.37, exceeding it by 1% of the stock price ($0.42). We invested $643.89 — which includes $9.06 in interest earned while holding cash for 132 days — gaining exposure to 6,203.50 equivalent shares.
On 1988-04-04, the 10-day EMA at $0.37 fell below the 20-day EMA at $0.38 by 1.5% of the stock price ($0.35), triggering our exit. After holding the position for 32 days, we exited leaving $205.76 in available cash.
On 1988-06-15, the 30-day EMA at $0.38 crossed above the 70-day EMA at $0.37, exceeding it by 1% of the stock price ($0.41). We invested $207.36 — which includes $1.60 in interest earned while holding cash for 72 days — gaining exposure to 2,030.53 equivalent shares.
On 1988-08-19, the 10-day EMA at $0.38 fell below the 20-day EMA at $0.38 by 1.5% of the stock price ($0.36), triggering our exit. After holding the position for 65 days, we exited leaving $110.90 in available cash.
On 1989-01-12, the 30-day EMA at $0.36 crossed above the 70-day EMA at $0.36, exceeding it by 1% of the stock price ($0.38). We invested $112.65 — which includes $1.75 in interest earned while holding cash for 146 days — gaining exposure to 1,180.55 equivalent shares.
On 1989-01-31, the 10-day EMA at $0.35 fell below the 20-day EMA at $0.36 by 1.5% of the stock price ($0.34), triggering our exit. After holding the position for 19 days, we exited leaving $59.03 in available cash.
On 1989-05-03, the 30-day EMA at $0.34 crossed above the 70-day EMA at $0.34, exceeding it by 1% of the stock price ($0.36). We invested $59.62 — which includes $0.59 in interest earned while holding cash for 92 days — gaining exposure to 663.55 equivalent shares.
On 1989-07-12, the 10-day EMA at $0.37 fell below the 20-day EMA at $0.38 by 1.5% of the stock price ($0.36), triggering our exit. After holding the position for 70 days, we exited leaving $56.34 in available cash.
On 1989-08-31, the 30-day EMA at $0.38 crossed above the 70-day EMA at $0.38, exceeding it by 1% of the stock price ($0.40). We invested $56.64 — which includes $0.30 in interest earned while holding cash for 50 days — gaining exposure to 570.21 equivalent shares.
On 1989-12-11, the 10-day EMA at $0.38 fell below the 20-day EMA at $0.39 by 1.5% of the stock price ($0.35), triggering our exit. After holding the position for 102 days, we exited leaving $27.42 in available cash.
On 1990-03-27, the 30-day EMA at $0.34 crossed above the 70-day EMA at $0.33, exceeding it by 1% of the stock price ($0.38). We invested $27.73 — which includes $0.31 in interest earned while holding cash for 106 days — gaining exposure to 295.78 equivalent shares.
On 1990-08-09, the 10-day EMA at $0.36 fell below the 20-day EMA at $0.37 by 1.5% of the stock price ($0.35), triggering our exit. After holding the position for 135 days, we exited leaving $19.51 in available cash.
On 1990-12-03, the 30-day EMA at $0.31 crossed above the 70-day EMA at $0.31, exceeding it by 1% of the stock price ($0.34). We invested $19.75 — which includes $0.24 in interest earned while holding cash for 116 days — gaining exposure to 232.10 equivalent shares.
On 1991-05-07, the 10-day EMA at $0.48 fell below the 20-day EMA at $0.51 by 1.5% of the stock price ($0.45), triggering our exit. After holding the position for 155 days, we exited leaving $44.33 in available cash.
On 1991-08-22, the 30-day EMA at $0.44 crossed above the 70-day EMA at $0.44, exceeding it by 1% of the stock price ($0.48). We invested $44.84 — which includes $0.51 in interest earned while holding cash for 107 days — gaining exposure to 370.31 equivalent shares.
On 1992-04-08, the 10-day EMA at $0.53 fell below the 20-day EMA at $0.54 by 1.5% of the stock price ($0.50), triggering our exit. After holding the position for 230 days, we exited leaving $45.73 in available cash.
On 1992-11-02, the 30-day EMA at $0.43 crossed above the 70-day EMA at $0.43, exceeding it by 1% of the stock price ($0.47). We invested $46.76 — which includes $1.03 in interest earned while holding cash for 208 days — gaining exposure to 400.96 equivalent shares.
On 1993-02-19, the 10-day EMA at $0.50 fell below the 20-day EMA at $0.51 by 1.5% of the stock price ($0.49), triggering our exit. After holding the position for 109 days, we exited leaving $54.41 in available cash.
On 1993-05-28, the 30-day EMA at $0.49 crossed above the 70-day EMA at $0.48, exceeding it by 1% of the stock price ($0.51). We invested $54.98 — which includes $0.58 in interest earned while holding cash for 98 days — gaining exposure to 434.99 equivalent shares.
On 1993-06-09, the 10-day EMA at $0.47 fell below the 20-day EMA at $0.48 by 1.5% of the stock price ($0.40), triggering our exit. After holding the position for 12 days, we exited leaving $6.63 in available cash.
On 1993-11-19, the 30-day EMA at $0.27 crossed above the 70-day EMA at $0.27, exceeding it by 1% of the stock price ($0.29). We invested $6.75 — which includes $0.12 in interest earned while holding cash for 163 days — gaining exposure to 91.66 equivalent shares.
On 1993-12-15, the 10-day EMA at $0.27 fell below the 20-day EMA at $0.28 by 1.5% of the stock price ($0.27), triggering our exit. After holding the position for 26 days, we exited leaving $4.02 in available cash.
On 1994-01-24, the 30-day EMA at $0.28 crossed above the 70-day EMA at $0.27, exceeding it by 1% of the stock price ($0.31). We invested $4.03 — which includes $0.02 in interest earned while holding cash for 40 days — gaining exposure to 51.63 equivalent shares.
On 1994-04-12, the 10-day EMA at $0.30 fell below the 20-day EMA at $0.30 by 1.5% of the stock price ($0.29), triggering our exit. After holding the position for 78 days, we exited leaving $2.52 in available cash.
On 1994-08-05, the 30-day EMA at $0.27 crossed above the 70-day EMA at $0.27, exceeding it by 1% of the stock price ($0.30). We invested $2.55 — which includes $0.03 in interest earned while holding cash for 115 days — gaining exposure to 34.31 equivalent shares.
On 1995-03-07, the 10-day EMA at $0.36 fell below the 20-day EMA at $0.36 by 1.5% of the stock price ($0.34), triggering our exit. After holding the position for 214 days, we exited leaving $3.86 in available cash.
On 1995-05-16, the 30-day EMA at $0.35 crossed above the 70-day EMA at $0.35, exceeding it by 1% of the stock price ($0.39). We invested $3.89 — which includes $0.03 in interest earned while holding cash for 70 days — gaining exposure to 39.83 equivalent shares.
On 1995-09-15, the 10-day EMA at $0.37 fell below the 20-day EMA at $0.38 by 1.5% of the stock price ($0.32), triggering our exit. After holding the position for 122 days, we exited leaving $0.88 in available cash.
On 1996-10-16, the 30-day EMA at $0.21 crossed above the 70-day EMA at $0.21, exceeding it by 1% of the stock price ($0.23). We invested $0.92 — which includes $0.04 in interest earned while holding cash for 397 days — gaining exposure to 16.05 equivalent shares.
On 1996-12-17, the 10-day EMA at $0.21 fell below the 20-day EMA at $0.22 by 1.5% of the stock price ($0.20), triggering our exit. After holding the position for 62 days, we exited leaving $0.43 in available cash.
On 1997-08-06, the 30-day EMA at $0.15 crossed above the 70-day EMA at $0.15, exceeding it by 1% of the stock price ($0.23). We invested $0.44 — which includes $0.01 in interest earned while holding cash for 232 days — gaining exposure to 7.54 equivalent shares.
On 1997-10-27, the 10-day EMA at $0.17 fell below the 20-day EMA at $0.18 by 1.5% of the stock price ($0.15), triggering our exit. After holding the position for 82 days, we exited leaving $0.00 in available cash.
As of 2025-07-05, we have $0.00 in cash, which includes $0.00 in interest earned over 10113 days (since fully exiting to cash).