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24 SPY

A trend-following strategy for the SPY ETF that leverages VIX-based indicators and moving averages alongside ATR-based risk management to identify and capitalize on market trends. The strategy takes long and short positions. It operates on daily bars and incorporates risk controls to manage drawdowns and optimize returns.

This document will be updated as the strategy is developed, deployed (live or simulation), or distributed. Once discontinued, it will be noted here. The change log can be used to track adjustments and improvements over time.

Strategy 24 SPY

Strategy Features:

  • VIX-Based Trend-Following
  • Trades SPY ETF
  • Utilizes ATR for Risk Management
  • Daily Bar Size
  • Commissions & Slippage Included in Backtest

Key Metrics
From latest backtest covering 1/3/2007 – 12/27/2024

  • Rate of Return (ROR): 5.10%
  • Max Historical Drawdown: -4.89%
  • Expectancy Per Trade: 2.66%
  • Win Rate: 72.22%
  • Profit Factor: 6.91
  • Sharpe Ratio: 1.02
  • MAR Ratio: 1.04

Settings

Setting Value
Bar Size Daily
Account Size Start $100,000
Data Source RealTest Data File
Universe SPY
Date Range 01/03/2007 to 12/27/2024
Platform/Engine RealTest
Use Available Bars False

Summary Stats (Strategy 24 SPY)

strategy_24_long strategy_24_short Combined
Periods 4,200 3,677 4,200
NetProfit $106,622 $22,012 $128,634
Comp True True True
ROR 4.46% 1.26% 5.10%
MaxDD -5.26% -3.96% -4.89%
MAR 0.85 0.32 1.04
Trades 31 5 36
PctWins 70.97% 80.00% 72.22%
AvgWin 4.10% 5.55% 4.32%
AvgLoss 1.67% 1.40% 1.65%
Expectancy 2.42% 4.16% 2.66%
TradeLen 14.87 3.20 13.25
ProfitFactor 6.28 15.05 6.91
Sharpe 0.93 0.46 1.02
Volatility 4.81% 3.05% 5.01%
Skew 0.99888 18.15907 2.07881
Sortino 1.52 1.13 1.75
Skipped 0.00% 0.00% 0.00%
AvgExp 10.97% 0.42% 10.52%
MaxExp 101.07% 103.88% 100.09%
AvgUse 11.36% 0.54% 10.96%
MaxUse 103.97% 104.12% 103.27%

Combined Monthly Percent Gains (Strategy 24 SPY)

YEAR Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec TOTAL MaxDD
2007 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.0%
2008 0.0% 0.0% 0.0% 0.1% 3.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.0% -2.2%
2009 0.0% 0.0% 0.0% 2.9% 5.8% 1.2% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 10.2% -4.6%
2010 0.0% 0.0% 3.8% 0.0% 1.7% 0.0% 0.0% -3.6% 2.1% 2.6% 0.0% 0.0% 6.7% -4.6%
2011 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.8% 6.3% 0.0% 0.9% -1.2% 0.0% 3.9% -4.8%
2012 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.1% 1.7% 0.0% 0.0% 0.0% 1.7% 4.6% -2.5%
2013 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.0%
2014 0.0% 1.7% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.2% -2.4% 1.9% -3.2%
2015 0.0% 2.4% 0.0% 0.0% 0.0% 0.0% -1.2% -0.0% 0.0% 0.3% 0.3% -3.0% -1.2% -4.0%
2016 0.0% 0.0% 2.5% 2.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.6% 2.4% 8.0% -1.3%
2017 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -0.0%
2018 0.0% 0.0% -0.3% 1.7% -0.1% 2.4% 0.0% 0.0% 0.0% -1.0% 0.0% 0.0% 2.6% -1.5%
2019 0.0% 2.0% 1.7% 1.6% 0.0% 1.6% 1.6% 0.0% 0.2% -0.4% 0.0% 0.0% 8.6% -3.1%
2020 0.0% 0.0% 7.5% 0.0% 3.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 11.1% -2.7%
2021 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 1.6% 1.9% 0.0% 3.5% -0.4%
2022 0.0% 0.0% 0.0% -2.6% 0.0% 0.0% 0.0% 4.4% 0.0% 0.0% 3.8% 0.2% 5.9% -3.3%
2023 1.8% 2.4% 0.0% 1.5% 0.4% 2.4% 0.0% 0.0% 0.0% 0.0% 1.2% 3.2% 13.7% -2.3%
2024 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 2.3% 0.3% 0.0% 0.0% 0.0% 2.6% -3.8%
AVG 0.1% 0.5% 0.9% 0.4% 0.8% 0.4% -0.0% 0.6% 0.1% 0.2% 0.5% 0.1% 4.8% -2.5%

Strategy Correlations

Returns

RETURNS strategy_24_long strategy_24_short Combined
strategy_24_long 1.00 -0.00 0.91
strategy_24_short -0.00 1.00 0.42
Combined 0.91 0.42 1.00

Drawdowns

DRAWDOWNS strategy_24_long strategy_24_short Combined
strategy_24_long 1.00 0.01 0.94
strategy_24_short 0.01 1.00 0.09
Combined 0.94 0.09 1.00

Visualizations

Equity
Drawdown
Daily
Monthly

Trade Plots

Plot 0
Plot 1
Plot 2

Monte Carlo Analysis (Strategy 24 SPY)

Percentile Net Profit CAR Max Drawdown
1% 60.65% 2.67% -10.75%
5% 86.87% 3.54% -8.55%
10% 97.95% 3.87% -7.80%
20% 116.76% 4.40% -6.76%
50% 150.96% 5.25% -4.48%
80% 193.50% 6.18% -3.12%
90% 231.63% 6.90% -2.95%
95% 239.28% 7.04% -2.53%
99% 300.39% 8.03% -1.86%
backtest 128.63% 4.71% -4.89%

MCPT Profit
MCPT Excursion


Generated by RealTest. These results are subject to change based on parameter adjustments or further development.