3 Short Selling Strategies (Trading Strategy Bundles)

This short-selling strategy bundle consists of three short strategies. They have only been backtested on the ETF mentioned below. Entries are on the close or the next open (and the same for exits). Read here for how to trade at the close – or alternative entries. No commissions and slippage included (estimated commissions and slippage).

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The bundle comes with trading rules in plain English and code for Amibroker and TradeStation/EasyLanguage (we also have it in TradingView/Pine Script but we provide no guarantees that it works properly).

Please check out our other Strategy Bundles.

Short strategy 1

The backtest below is done on S&P 500 (SPY):

Strategy and performance metrics:

• #trades: 126
• Average gain per trade: 0.7%
• Annual returns (CAGR): 2.6%
• Time spent in the market: 6%
• Max drawdown: 12%
• Risk-adjusted CAGR: 41%
• Win rate: 67%
• Max consecutive losers: 7
• Max consecutive winners: 16
• Profit factor: 2

Short strategy 2

The backtest below is done on XLP (consumer staple ETF):

Strategy and performance metrics:

• #trades: 156
• Average gain per trade: 0.25%
• Annual returns (CAGR): 2%
• Time spent in the market: 4%
• Max drawdown: 4%
• Risk-adjusted CAGR: 38%
• Win rate: 71%
• Max consecutive losers: 7
• Max consecutive winners: 20
• Profit factor: 2.4
• Sharpe Ratio: 2.1

Short strategy 3

The backtest below is done on SMH (semiconductor ETF):

Strategy and performance metrics:

• #trades: 204
• Average gain per trade: 0.85%
• Annual returns (CAGR): 7%
• Time spent in the market: 8%
• Max drawdown: 18%
• Risk-adjusted CAGR: 81%
• Win rate: 69%
• Max consecutive losers: 4
• Max consecutive winners: 10
• Profit factor: 1.9

All 3 short strategies combined

If we combine all 3 short strategies and take max one position at a time, we get the following equity curve:

Strategy and performance metrics:

• #trades: 460 (since year 2001)
• Average gain per trade: 0.6%
• Annual returns (CAGR): 10.4%
• Time spent in the market: 14%
• Max drawdown: 16%
• Risk-adjusted CAGR: 74%
• Win rate: 70%
• Max consecutive losers: 4
• Max consecutive winners: 14
• Profit factor: 1.9

Returns per year:

Here you can find more trading strategy bundles

FAQ:

What does the short-selling strategy bundle include?

The short-selling strategy bundle comprises three distinct short strategies designed to capitalize on market movements. Each strategy is meticulously crafted to offer a unique approach to short-selling, and they collectively form a powerful bundle suitable for various assets. Here’s a more in-depth look at each component:

What are the key performance metrics for Short Strategy 1?

The total number of trades executed using Short Strategy 1 is 125. The average percentage gain achieved per trade is 0.72%. The Compound Annual Growth Rate, a measure of the geometric progression ratio that provides a constant rate of return, is 2.9%. The maximum drawdown, representing the largest peak-to-trough decline, is 11%.

What happens when all three short strategies are combined?

The overview of the performance metrics when combining all three short strategies, including #trades, average gain per trade, CAGR, time spent in the market, max drawdown, risk-adjusted CAGR, win rate, max consecutive losers, max consecutive winners, profit factor, and Sharpe Ratio.