3 Beginner Strategies In SPY and ES (ETF and Futures) – (Trading Strategy Bundles)
We have put together a “strategy pack” (bundle) of 3 strategies in S&P 500 (SPY or ES). The bundle consists of three strategies that we believe complement each other (charts and data updated per January 2023).
The bundle comes with code for Amibroker, TradeStation/EasyLanguage, TradingView/Pine Script, and trading rules in plain English.
The strategies are long-only due to the nature of the index.
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- Strategy 1 is new and has never been published on the website before
- Strategy 2 is a modified version of the monthly trading edge of February 2022
- Strategy 3 is a modified candlestick pattern.
- We don’t give rebates if you already believe you have one of the strategies. We believe the strategies are pretty cheap anyway.
- Ask us if you are unsure: oddmund at quantifiedstrategies dot com.
Please check out our other Strategy Bundles.
Here are the details about each strategy plus all strategies combined:
Strategy 1
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Strategy and performance metrics:
- #trades: 301
- Average gain per trade: 0.9%
- CAGR: 9.1%
- Time spent in the market: 15%
- Max drawdown: 23%
- Risk-adjusted CAGR: 61%
- Win rate: 78%
- Max consecutive losers: 2
- Max consecutive winners: 24
- Profit factor: 2.8
- Sharpe Ratio: 2.3
Strategy 2
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Strategy and performance metrics:
- #trades: 133
- Average gain per trade: 0.6%
- CAGR: 2.6%
- Max drawdown: 13%
- Risk-adjusted CAGR: 48%
- Time spent in the market: 5%
- Win rate: 78%
- Max consecutive losers: 2
- Max consecutive winners: 12
- Profit factor: 2.9
- Sharpe Ratio: 2.3
Strategy 3
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Strategy and performance metrics:
- #trades: 221
- Average gain per trade: 0.7%
- CAGR: 5.2%
- Max drawdown: 17%
- Risk-adjusted CAGR: 49%
- Time spent in the market: 10%
- Win rate: 73%
- Max consecutive losers: 4
- Max consecutive winners: 18
- Profit factor: 3.3
- Sharpe Ratio: 2.4
All 3 strategies combined
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Strategy and performance metrics:
- #trades: 519
- Average gain per trade: 0.74%
- CAGR: 13.2% (unleveraged)
- Max drawdown: 23%
- Risk-adjusted CAGR: 53%
- Time spent in the market: 25%
- Win rate: 75%
- Max consecutive losers: 3
- Max consecutive winners: 13
- Profit factor: 2.9
- Sharpe Ratio: 2.2
The annual returns are like these:
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Here you can find more trading strategy bundles
Please read this before you buy:
- At least one strategy is new and unique.
- However, most of the strategies are new and not published anywhere else.
- Some might be part of our Monthly Trading Edges.
- We don’t give rebates if you already believe you have one of the strategies. We believe the strategies are pretty cheap anyway.
- Ask us if you are unsure: oddmund at quantifiedstrategies dot com.
