Quantitative Trading Strategies
Strategy Prospectus: TW_v2_SPY
15+ years | 40.85% cagr | 23.5% max drawdown
This strategy can be modified to meet specific risk parameters.
Strategy Description
Our TW_v2_SPY strategy is a high-risk 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. The 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 drawdowns greater than 20%, 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, 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 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 in the 15-year timespan where the strategy experienced a peak-to-trough drawdown exceeding 20%.
Strategy Overview
Strategy Name: TW_v2_SPY
Style: Swing Trading
Symbol: SPY
Backtest: Jan 1, 2009 – Oct 17, 2022 (14 years)
Forward Tested: Oct 17, 2022 – present (2 years)
Max Leverage: 100% (up to 1:2 Ratio)
Performance
Annualized Return (CAGR): 40.85%
Win Rate: 70.81%
Profit Factor: 2.843
Number of Trades: 603
Drawdowns >20%: 23.5%, 22.21%
Sortino Ratio: 1.2
Fees
Our fee structure is transparent, fair, and aligned with your success:
- 2% of AUM or $1,000 (whichever is greater), billed annually based on your account balance.
- Performance Fee Tiers:
- 25% for accounts <$100,000.
- 20% for accounts $100,000+
- High Watermark Rule: Performance fees are charged only on net profits exceeding the previous highest balance. You’ll never pay fees twice on the same profits.
- Minimum Investment: $30,000.
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. Trading can result in the loss of 100% of your capital.