Shows the results of backtesting a trading strategy for the stock SPY (SPDR S&P 500 ETF) over the 10 year period 1/18/05 to 2/23/15. This was a weekly strategy meaning that it needed setting up once a week, and it traded once a week or less. I chose this strategy because it gave the best total return (1020% vs 120% for buy-hold), not because of its longevity characteristics which are not superlative. That said, it was reasonably well behaved, staying long in the run up to the 2009 crisis, going mostly short then essentially staying long since 2011. It also displayed a good tolerance to changes in the buy and sell points.
Note that this was a buy high, sell high strategy; a sell signal was (with one exception) always accompanied by a buy signal in the same week, but since each week you were following either the buy or the sell strategy, there was never two trades in a week. There were a total of 118 buy signals and 43 sell signals.
Please note, this post was edited Jan 6th 2016 to correct an error in the short-side calculations.
Update Oct 19th 2016
Still unspectacular performance from this:
Since publication 2/26/2015, the strategy has stayed long with no trades, gaining 1.42%(6.1% annualized)
I recently came across your website and it is very informative. I am especially interested in the SPY Weekly system as I currently trade a monthly system.
One question: when Shorting SPY, is the only rule to Short when SPY rises 7.15% or more above the previous week’s low? Or are there any other Short rules – e.g. Short when SPY falls X% below the previous week’s high?
No, the only rule is to sell and short when SPY rises 7.15% or more above the previous week’s low.
The last buy I show is the week of 27th Oct 2014. Since then there has been no sell/short, and the gains have been flat since publication last Feb.
Thank you, Andrew.
The strategy has been long since publication on 2/23. SPY has lost around 5% in that time.