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Combining Long And Short Strategy Bundles (29% in 2022)

Let’s look at what happens when you combine long and short strategies. For example, we’ll look at our Strategy Bundle 1 and the Short Strategies Bundle and see what happens when we combine them.

Bundle 1 trades SPY (you can also use @ES), while the Short Bundle trades SPY, XLP, and SMH.

We make a backtest with the following trading rules:

  • We allocate 100% of the equity to each trade.
  • Thus, some overlapping trades won’t be triggered.

SPY has long and short trades, while XLP and SMH only have short trades.

If we combine the strategies, we get the following equity curve (we start in 2002 to get all the ETFs included):

Annual results:

Annual returns are an impressive 25%, but the best period was before 2010. This is the curve from 2010:

From 2010 CAGR dropped to 15%.

Long and short performance metrics:

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