Trading Strategies
Backtested, profitable trading strategies with our OMEGA signals.
Last Update: Aug 18, 2024
Strategy Prospectus: x_TW_v2_SPY_SCALED
15+ Years | 48.77% CAGR | 32.49% MaxDD
Strategy Description
The x_TW_v2_SPY_SCALED strategy is a high-risk, swing trading growth strategy designed for trading in the SPDR S&P 500 ETF (SPY), one of the most liquid ETFs available. This swing trading strategy dynamically positions itself for both long and short trades, capitalizing on market fluctuations with an advanced pyramiding approach and robust risk management techniques. In addition, the strategy increases it’s order size for each consecutive pyramid trade, both into winning and losing positions. While this increases the overall strategy risk (i.e. greater drawdown percentage), the increased returns underline the quality of the strategy. Just as it’s related strategy (No. 001), this strategy is optimized for high-volatility environments, where it consistently outperforms market benchmarks, while maintaining competitive performance during periods of low volatility. With a focus on capital preservation, the strategy implements stringent controls to minimize the number of drawdowns greater than 20% (two for this 15-year backtest), ensuring robust protection of investor assets.
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The images above illustrate the equity curve of our strategy for the test time frame (Jan 1, 2009 to Aug 2, 2024), with the red line representing the buy-and-hold performance of the benchmark, SPY. To enhance visibility, we have also included a logarithmic equity curve. The highlighted boxed areas mark periods of heightened volatility, demonstrating that the strategy significantly outperforms the benchmark during these times. Additionally, we have identified and marked the two instances during this 15-year backtest where the strategy experienced a peak-to-trough drawdown exceeding 20%.
Strategy Overview
Strategy Number: 002
Strategy Name: x_TW_v2_Scaled_SPY
Style: Swing Trading
Symbol: SPY
Test Timeframe: Jan 1, 2009 – Aug 2, 2024 (15+ Years)
Backtested: Jan 1, 2009 – Aug 2, 2023 (14+ Years)
Forward Tested: Aug 2, 2023 – Aug 2, 2024 (1 Year)
Backtest Results
Annualized Return (CAGR): 48.77%
Win Rate: 70.57%
Profit Factor: 2.98
Number of Trades: 598
Drawdowns >20%: 27.61%, 32.49%
Sortino Ratio: 1.168
Backtest Settings
Initial Capital: $10,000
Max Leverage: 150%
Signal Algo: Omega Signals by Tradingwhale
Pyramiding: Yes
Scaling: Yes (see Risk & Money Mgmt.)
Commission: 0.03%
Slippage: 2 Ticks
Margin: 30% (margin loan costs not included in the calculations)
Risk & Money Management
Max Leverage: 150% (1:1.5 Ratio)
Order Size: (1) 66%, (2) 80%, (3) 100% of Equity
Stop-Loss: Yes
Take-Profit: Yes
Annual Performance Table
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Omega Trading Signals
- Eight distinct, near-zero latency signals form the basis of the strategy.
Additional Insight
The x_TW_v2_SCALED_SPY strategy is engineered to thrive under varying market conditions, with particular strength in volatile environments. Its sensitivity analysis demonstrates resilience against parameter changes, highlighting its robust risk management framework, including automated stop-loss and take-profit mechanisms. The strategy has been unchanged since Aug 2, 2023 and been forward-tested for one year until Aug 2, 2024.
Fees
One-time fee: $2,000
Performance Allocation: 25% of Net Profits with High Watermark
Serious investors direct inquiries to sales@tradingwhale.io
Past performance is NOT indicative of future performance.
TradingWhale provides trading tools and education. In no way, shape or form do we provide trading advice, nor are our trading signals or strategies to be interpreted as such. By using our signals and strategies you take full responsibility for the results of your own trading. Using leverage in trading amplifies risks and rewards, including the risk of total loss of principal and margin calls.
Trading can result in the loss of 100% of your invested capital.