Below the Line + Free Cash Flow: What 3,370 Crossings Tell Us

S&P 500, 2011–2026 | 200-Week Moving Average Backtesting

Chart 1: FCF Yield Bucket Performance

Grouped bars show median 12-month returns and win rates by FCF yield bucket. Sample sizes (n) labeled above each bucket group.

Chart 2: FCF Yield Threshold Edge

Significant (p < 0.05)
Marginally Significant (p < 0.10)
Not Significant (p ≥ 0.10)
Line color indicates statistical significance. Baseline (all crossings) shown as dashed gray reference line. ≥10% threshold marks significance breakpoint.

Chart 3: Quality Category Comparison

Horizontal bars ranked by median return. Bar color reflects quality strength; win rates shown as percentage labels.

Chart 4: Max Drawdown vs. Return (Risk/Reward Profile)

Dual-axis visualization: bars show median drawdown (left) and median 12-month return (right). Illustrates risk-adjusted returns across signal filters.

Methodology & Dataset

Data Source: S&P 500 historical prices and fundamental data (FCF yield), 2011–2026.

Signal Definition: Buy signals generated when the S&P 500 closes above its 200-week moving average. 3,370 total crossings identified. Hold 12 months, then exit or re-enter if signal changes.

FCF Filter: Each crossing is tagged with the FCF yield of the index at signal time. Buckets are inclusive (e.g., "3–5%" means ≥3% and <5%). Positive & Growing, Positive & Declining, and Positive (trend unknown) reflect whether FCF was increasing or decreasing in the months leading up to the signal.

Returns: Median 12-month total return (price appreciation + dividends) following each signal. Win rate is the percentage of signals with positive 12-month returns.

Statistical Significance: p-values derived from binomial test of win rate vs. 50% null hypothesis. Green indicates p < 0.05 (strong evidence of edge); yellow indicates p < 0.10 (marginal evidence).