Strategy 14
A mean reversion trading strategy that trades SPY and operates on both long and short positions. It leverages the money flow indicator based on SPX performance (breadth/regime filter) to determine optimal times to enter trades.
This file will be updated for as long as the strategy is being developed, deployed (live or simulation), or distributed. Once it has been discontinued, it will be noted here. The code block will always reflect the most recent version of the strategy. The change log can be used to see changes and adjustments to the code over time.
Strategy Features:
- Day Trading Futures Strategy (Long and Short)
- Trades SPY
- Utilizes the money flow indicator to time entries based on SPX performance
- Supports both long and short trading strategies
- Commissions and slippage accounted for in backtest results
Key Metrics: Key metrics are from the latest backtest date in the date range above in the test settings.
- Compound Annual Return: 1.79%
- Max Historical Drawdown: -5.42%
- Average Holding Period: 3 Days
- Expectancy Per Trade: 3.27%
- Win Rate: 69.70%
- Profit Factor: 2.17
- Sharpe Ratio: 0.68
- MAR Ratio: 0.33
Settings
| Setting | Value |
|---|---|
| Bar Size | Daily |
| Account Size Start | $100,000 |
| Data Source | Norgate |
| Universe | SPY |
| Date Range | 01/01/2007 to 09/30/2024 |
| Platform/Engine | RealTest |
| Use Available Bars | False |
Summary Stats (Strategy 14)
| strategy_14_long | strategy_14_short | Combined | |
|---|---|---|---|
| Periods | 4,408 | 4,300 | 4,408 |
| NetProfit | $25,864 | $11,002 | $36,866 |
| Comp | True | True | True |
| ROR | 1.30% | 0.62% | 1.79% |
| MaxDD | -5.58% | -5.41% | -5.42% |
| MAR | 0.23 | 0.11 | 0.33 |
| Trades | 46 | 86 | 132 |
| PctWins | 78.26% | 65.12% | 69.70% |
| AvgWin | 0.99% | 2.50% | 1.91% |
| AvgLoss | 1.23% | 2.71% | 2.34% |
| WinLen | 1.78 | 3.79 | 3.00 |
| LossLen | 2.30 | 4.67 | 4.08 |
| Expectancy | 0.51% | 0.68% | 0.62% |
| ProfitFactor | 2.84 | 1.63 | 2.17 |
| Sharpe | 0.61 | 0.33 | 0.68 |
| AvgExp | 1.97% | 1.63% | 3.27% |
| MaxExp | 101.34% | 42.97% | 100.53% |
Combined Monthly Percent Gains
| YEAR | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | TOTAL | MaxDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.0% | 0.4% | -1.5% | 0.0% | 0.3% | -1.0% | 0.0% | 0.2% | 0.0% | -0.2% | -0.2% | -0.1% | -2.2% | -2.9% |
| 2008 | 0.8% | 0.0% | 0.7% | 0.0% | 0.3% | 0.3% | 0.7% | -0.0% | 1.1% | 1.5% | 1.4% | -0.7% | 6.1% | -1.0% |
| 2009 | 0.6% | 0.5% | -0.3% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 1.0% | 4.9% | 1.2% | 0.0% | 8.0% | -0.6% |
| 2010 | -0.9% | 1.4% | 0.0% | 1.4% | -0.1% | -0.1% | -0.0% | 0.1% | -0.4% | 0.0% | 0.0% | 0.0% | 1.5% | -1.7% |
| 2011 | 0.4% | 1.3% | 3.0% | 0.0% | 0.0% | -1.6% | 0.0% | 0.4% | 0.3% | -1.3% | 0.0% | -0.2% | 2.3% | -2.4% |
| 2012 | 0.0% | 0.0% | 0.0% | 0.8% | 0.1% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | -0.1% | 0.0% | 0.8% | -0.9% |
| 2013 | 0.0% | 1.2% | 0.0% | -0.0% | 0.7% | 0.7% | 0.0% | 0.2% | 0.5% | 1.8% | 1.2% | 0.4% | 6.9% | -2.4% |
| 2014 | 1.0% | 0.0% | 0.0% | 1.0% | 0.0% | 0.0% | 0.4% | 0.0% | 0.0% | -0.9% | 0.0% | 0.0% | 1.4% | -1.2% |
| 2015 | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | -0.1% | -0.1% | 0.4% | -0.9% | -0.3% | 0.6% | -0.4% | -1.4% |
| 2016 | 0.5% | 0.8% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 1.3% | -0.2% |
| 2017 | 0.0% | 0.0% | -0.8% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 1.0% | 0.2% | -1.0% |
| 2018 | -0.3% | -5.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.4% | 0.2% | 0.8% | -4.0% | -5.3% |
| 2019 | 0.2% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.2% | -0.3% |
| 2020 | 0.0% | 0.0% | 1.6% | -0.8% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | 0.8% | -2.8% |
| 2021 | 0.0% | 1.5% | 0.0% | 0.0% | 1.9% | 0.9% | 0.0% | 1.9% | -0.1% | 0.0% | 0.0% | 0.0% | 6.3% | -0.4% |
| 2022 | -0.7% | -0.6% | -0.2% | 0.7% | 0.8% | 0.7% | 0.0% | 0.0% | 1.8% | 0.1% | 1.1% | 0.0% | 3.8% | -1.9% |
| 2023 | 0.2% | 0.0% | -1.2% | 0.0% | 0.6% | 0.0% | 0.0% | 0.0% | 0.1% | 0.1% | -1.0% | 0.0% | -1.2% | -1.5% |
| 2024 | 0.0% | 0.0% | 0.0% | 0.8% | 0.0% | 0.0% | 0.0% | 0.0% | n/a | n/a | n/a | n/a | 0.8% | -0.0% |
| AVG | 0.1% | 0.1% | 0.1% | 0.2% | 0.3% | -0.0% | 0.1% | 0.2% | 0.3% | 0.3% | 0.2% | 0.1% | 1.8% | -1.6% |
Strategy Correlations
| RETURNS | strategy_14_long | strategy_14_short | Combined |
|---|---|---|---|
| strategy_14_long | 1.00 | -0.00 | 0.79 |
| strategy_14_short | -0.00 | 1.00 | 0.61 |
| Combined | 0.79 | 0.61 | 1.00 |
| DRAWDOWNS | strategy_14_long | strategy_14_short | Combined |
|---|---|---|---|
| strategy_14_long | 1.00 | -0.05 | 0.85 |
| strategy_14_short | -0.05 | 1.00 | 0.07 |
| Combined | 0.85 | 0.07 | 1.00 |
Visualizations
Trade Plots
Monte Carlo Analysis
The results for this strategy are less pleasing when looking at the Monte-Carlo charts. The range is wide and leads me to believe that this strategy may not be that robust. This could be due to the minimal trade entry criteria or indicate that the money flow indicator is not the best vessel to trade this relationship.
| Percentile | Net Profit | CAR | Max Drawdown |
|---|---|---|---|
| 1% | 12.86% | 0.69% | -12.20% |
| 5% | 18.60% | 0.97% | -10.51% |
| 10% | 22.34% | 1.15% | -8.74% |
| 20% | 27.67% | 1.39% | -7.25% |
| 50% | 39.80% | 1.92% | -5.39% |
| 80% | 51.55% | 2.38% | -3.75% |
| 90% | 56.23% | 2.56% | -2.95% |
| 95% | 64.18% | 2.85% | -2.32% |
| 99% | 83.31% | 3.49% | -1.50% |
| backtest | 36.87% | 1.79% | -5.42% |
Generated by RealTest. These results are subject to change based on parameter adjustments or further development.