Quantitative Trading Strategies
TW_v4_SPY - Long/Short
15+ years | 46.3% CAGR | 27% max drawdown
Annual Returns
Strategy Description
Our TW_v4_SPY strategy is 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 while applying robust risk management techniques. The strategy is optimized for higher volatility environments, where it consistently outperforms market benchmarks, while maintaining competitive performance during periods of lower volatility. With a focus on maximizing returns, this strategy uses leverage of up to 1:2 based on market conditions. Performance characteristics show outsized returns and manageable risk.
Performance
The charts above illustrate the cumulative returns of this strategy compared to the benchmark ‘SPY’. The walk-forward started May 19, 2023. The highlighted areas mark periods of heightened volatility, demonstrating that the strategy significantly outperforms the benchmark during these times. The strategy experienced only two instances of a peak-to-trough drawdown exceeding 20% in the 15+ years timespan.
Drawdown Analysis
The drawdown analysis in the chart shows the drawdowns of both the TW_v4_SPY strategy and SPY. The strategy drawdowns are typically more muted, with a notable exception in 2015/16. The strategy drawdowns are mostly short-lived, followed by a quick recovery. SPY drawdowns are somewhat longer and often more extreme than the strategy drawdowns.
The chart Relative Drawdown chart shows the difference between drawdowns more clearly. Anything above the line means that strategy drawdowns are greater anything below the line means that SPY drawdowns are greater. If we calculate the total area for red and blue, we can see that SPY drawdowns are greater then drawdowns of the TW_v4_SPY strategy 68.9% of the time. This tells a different, more detailed story of drawdown performance than simply comparing two max drawdown values for TW_v4_SPY (27.01%) and SPY (25.33) respectively.
When dividing the total cumulative relative drawdowns of the strategy and the benchmark (SPY) we get the Relative Drawdown Coefficient (RDC). This tells us the relationship between the total drawdown areas of the two strategies up until that point in time in one single value. If that value is smaller than one, the strategy is performing better (shallower and shorter drawdowns). If the value is greater than one, then the benchmark, here SPY, is performing better.
Since the value of the RDC is significantly smaller than one (1) the majority of the time, we can say that the strategy has a much better drawdown profile than the SPY during the observed timeframe.
Return Distributions
TW_v4_SPY is built on a disciplined framework designed to capture opportunities on both the long and short sides of the market while emphasizing consistent performance and risk management.
Long trades exhibit a clear edge, with returns predominantly concentrated in the 1% to 3% range and minimal downside exposure. This consistency demonstrates the strategy’s ability to identify and capitalize on upward trends while effectively mitigating risk.
Short trades, while slightly more dispersed, also deliver positive results within the 1% to 3% range. Losses remain well-contained, underscoring the robustness of the risk controls in place and the strategy’s adaptability to bearish or volatile conditions.
Combined performance across all trades highlights a balanced approach, with the same positive skew in returns and limited drawdowns. This speaks to the strategy’s ability to perform across diverse market environments, maintaining consistency and capital preservation as core objectives.
This strategy offers a measured and disciplined approach to trading, focused on delivering steady, risk-adjusted returns. Designed for those seeking reliable performance, it balances long and short exposure while keeping downside risk tightly managed—providing a thoughtful addition to a diversified portfolio.
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. 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.