Trading Strategies
Backtested, profitable trading strategies with our OMEGA signals.
Last Update: Aug 16, 2024
Strategy Prospectus: x_TW_v3_mc-int_SPY
15+ years | 55.21% cagr | 37.4% max drawdown
Strategy Description
Our x_TW_v3_mc-int_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 maximizing returns, this strategy uses leverage of up to 155%, delivering outsized returns on equity combined with substantial risk and increased maximum drawdown compared to our previous SPY strategies (No. 001 and No. 002).
click image to enlarge
click image to enlarge
The images above illustrate the equity curve of our strategy for the test time frame (Jan 1, 2009 to Aug 16, 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 in the 15-year timespan where the strategy experienced a peak-to-trough drawdown exceeding 20%.
Strategy Overview
Strategy Number: 003
Strategy Name: x_TW_v3_mc-int_SPY
Style: Swing Trading
Symbol: SPY
Backtested: Jan 1, 2009 – Aug 16, 2023 (15+ Years)
Backtest Results
Annualized Return (CAGR): 55.21%
Win Rate: 71.22%
Profit Factor: 3.06
Number of Trades: 629
Drawdowns >20%: 28.6%, 37.44%
Sortino Ratio: 1.2
Backtest Settings
Initial Capital: $10,000
Max Leverage: 155%
Signal Algo: Omega Signals by Tradingwhale
Pyramiding: Yes
Scaling: No
Commission: 0.03%
Slippage: 2 Ticks
Margin: 30% (margin loan costs not included in calculations)
Risk & Money Management
Max Leverage: 155% (1:1.55 Ratio)
Order Size: up to 85% of Equity each trade
Stop-Loss: Yes
Take-Profit: Yes
A Strong Foundation
To further demonstrate the robustness of this strategy, we present the results without the utilization of any leverage.
The chart on the left showcases the strategy with regular scale (in thousands). The chart on the right shows the same data in LOG scale. Throughout the 15+-year testing timeframe the strategy using no leverage outperformed the SPY buy and hold strategy roughly by the factor of 3x, illustrating its potential for enhanced returns. This transparent comparison underscores the strategy’s effectiveness and adaptability across different trading environments. If the 2008 downturn is included in the test, the results look even better, as the strategy performs best in high-volatility environments. This can be seen well in the LOG scaled charts during market downturns (see red line of SPY prices for the backtesting time frame).
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_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.
When all leverage is removed from the strategy, during the backtest above the strategy still achieves ~2.9 times the returns compared to buy-&-hold.
Fees
One-time fee: $3,000
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.