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Performance of Eleven SPY ETF Trading Strategies

Details of the performance of eleven SPY ETF trading strategies from January 2, 2018 to April 4, 2019. Six trend-following and five mean-reversion strategies are included.

Backtest period: 01/02/2018 – 04/04/2019
Commission: $0.01 per share
Position size: 100% invested in each position
Trade entry and exit: Open of next bar

Trend-following strategies

1MA200LS:     Price/200-day moving average cross, long-short
1MA200L:        Price/200-day moving average cross, long-only
50MA200LS:  50-day/200-day moving average cross, long-short
50MA200L:     50-day/200-day moving average cross, long-only
1M12LS:             Price/12-month moving average cross, long-short
1M12L:                Price/12-month moving average cross, long-only
B&H:                      Buy and hold

Trend-following Results

1MA200LS 1MA200L B&H
Return -8.56% 0.28% 9.73%
Max. DD -21.3% -13.7% -19.4%
Sharpe -0.43 0.02 0.47
MAR -3.2 0.02 0.40
Trades 13 7 1

 

50MA200LS 50MA200L B&H
Return -3.79% 2.97% 9.73%
Max. DD -17.5% -10.1% -19.4%
Sharpe -0.19 0.17 0.47
MAR -0.17 0.23 0.40
Trades 3 2 1

 

1M12LS 1M12L B&H
Return -22.36% -6.74% 9.73%
Max. DD -30.8% -17.5% -19.4%
Sharpe -1.05 -0.42 0.47
MAR -0.63 -0.33 0.40
Trades 5 3 1


Mean-reversion strategies

IBS: Daily internal bar strength
RSI2: Daily RSI(2), buy < 10 – Sell > 70
WR2: Buy if 2 consecutive negative returns, Sell if 2 consecutive positive returns.
PSI5: Daily timeframe proprietary mean-reversion algo. For more details click here.
MRSPYW: Weekly timeframe based on PSI5. For more details click here.

Mean-reversion Results

IBS RIS2 WR2 B&H
Return -8.43% -7.74% -7.5% 9.73%
Max. DD -15.3% -14.7% -17.4% -19.4%
Sharpe -0.58 -0.51 -0.45% 0.47
MAR -0.44 -0.42 -0.35 0.40
Trades 30 13 24 1

 

PSI5 MRSPYW B&H
Return 1.75% 7.25%% 9.73%
Max. DD -13.3% -5.6% -19.4%
Sharpe 0.11 0.56 0.47
MAR 0.11 1.03 0.40
Trades 24 13 1

Summary

  • Trend-following in monthly timeframe and mean-reversion strategies except those based on PSI5 algo generated losses.
  • Trend-following strategies with short positions were losers.
  • Daily timeframe long-only trend-following and mean-reversion strategies based on PSI5 algo have recovered.
  • Weekly mean-reversion based on PSI5 (MRSPYW) has the best performance in both 2018 and 2019.

Note that weekly signals of MRSPYW strategy are included in our weekly Market Signals report. The same algo is applied to portfolio mean-reversion with DOW 30 stocks. For more details click here. The mean-reversion algo we use (PSI5) is not data-mined but based on a formula from a text on probability that describes fundamental behavior of price action.

Contact us if you have any questions.


Disclaimer:  All performance results are base don backtests. No part of the analysis in this blog constitutes trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.

All backtests were performed in Amibroker

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