Trading Strategy Backtests on the SPY
About this data
Each strategy simulates investing $100,000 in SPY from January 1993 to the present. The table shows full-period CAGR, max drawdown, trailing returns (1/5/10yr), and rolling 5yr and 10yr CAGR windows (median, best, worst). Click any strategy to overlay its equity curve on the chart; click a rolling best/worst or max drawdown cell to highlight that period.
Dividends included. SPY price data from Yahoo Finance is dividend-adjusted — historical prices are retroactively lowered so that price appreciation reflects total return including reinvested dividends. Buy and Hold's 10.47% CAGR is total return, not price-only.
Next-day open execution. When a strategy generates a signal at the close, the trade executes at the next day's open — matching what a real trader would experience. Leveraged strategies' internal daily rebalance (which happens inside the ETF) is unaffected.
5 bps friction per trade. Every buy and sell incurs a 0.05% cost (bid-ask spread + slippage). SPY's actual spread is ~1-2 bps; 5 bps is conservative. High-frequency strategies pay more total friction than low-frequency ones.
Cash earns 0% interest. When a strategy moves to cash, that cash earns nothing. This is a conservative bias — it makes it harder for timing strategies to beat Buy and Hold.
| Trailing CAGR | Rolling 5yr | Rolling 10yr | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Strategy | Full | Max DD | 1yr | 5yr | 10yr | Median | Best | Worst | Median | Best | Worst |
| Buy and Hold Invest 100% on day 1 and never sell. | 10.5% | -55.2% | 18.3% | 12.1% | 14.3% | 11.3% | 28.3% | -8.4% | 8.6% | 17.6% | -4.2% |
| 2x Leveraged MA200 Exit 2x leverage above 200 MA, 100% cash below. | 21.0% | -31.9% | 28.7% | 24.2% | 26.5% | 20.1% | 54.9% | 0.7% | 19.3% | 30.1% | 4.0% |
| Leveraged on Signal 1.5x leverage above 200 MA, 1x below. | 20.2% | -54.8% | 27.8% | 22.2% | 25.2% | 21.2% | 46.1% | -2.7% | 18.1% | 28.5% | 2.4% |
| 2x Leveraged B&H Simulate 2x daily leverage on SPY buy and hold (like SSO). | 17.9% | -83.7% | 35.0% | 22.2% | 26.4% | 20.6% | 59.9% | -20.3% | 13.6% | 34.9% | -12.5% |
| 1.5x Leveraged B&H Simulate 1.5x daily leverage on SPY buy and hold. | 14.6% | -72.2% | 26.9% | 17.5% | 20.7% | 16.2% | 43.8% | -14.0% | 11.6% | 26.4% | -7.9% |
| Cash + 2x Leverage 50% cash + 2x leveraged SPY; deploy cash on 10%+ dips. | 14.1% | -82.2% | 30.7% | 18.7% | 21.3% | 18.5% | 45.5% | -20.4% | 11.3% | 31.4% | -11.9% |
| Golden Cross 1.5x 1.5x leveraged above golden cross, 100% cash below. | 13.3% | -47.3% | 1.1% | 14.3% | 13.5% | 12.7% | 36.7% | -3.2% | 11.9% | 20.7% | 5.0% |
| SMA200 + RSI Pullback Fully invested above 200-day MA. Below it, buys RSI(2) < 5 dips and sells at RSI(2) > 70. Notes
| 12.1% | -33.7% | 28.5% | 11.9% | 12.7% | 11.7% | 27.4% | 0.5% | 11.5% | 16.1% | 5.5% |
| Momentum Check 12M Monthly: invest if 12-month return > 0, else cash. | 10.8% | -33.7% | 18.3% | 11.3% | 12.2% | 9.7% | 28.3% | -0.2% | 10.1% | 15.1% | 3.4% |
| Yield Curve Signal Cash when yield curve inverts (10yr < 5yr), invest when normal. | 10.3% | -55.2% | 18.3% | 9.7% | 13.1% | 11.8% | 29.1% | -8.3% | 9.3% | 17.6% | -3.7% |
| Cash Reserve Slow Rebuild Hold 10% cash; deploy on 5% dip, rebuild 1%/month near ATH. | 10.3% | -55.1% | 18.3% | 12.1% | 14.0% | 11.2% | 27.7% | -8.4% | 8.5% | 17.5% | -4.2% |
| Cash Reserve Deep Dip Hold 10% cash; deploy on 10% dip, rebuild only after 21 days at ATH. | 10.3% | -55.2% | 18.3% | 12.1% | 14.3% | 11.3% | 27.3% | -8.4% | 8.5% | 17.5% | -4.2% |
| Dual Momentum Invest if SPY 12m return positive AND beats T-bill yield. | 10.2% | -33.7% | 18.3% | 10.4% | 11.2% | 9.3% | 26.9% | -1.2% | 9.7% | 14.4% | 3.1% |
| Volatility Scaled Cash Size cash reserve by realized vol (5-20%); deploy on dips, rebalance monthly. | 10.2% | -55.0% | 18.1% | 11.7% | 13.7% | 11.0% | 27.4% | -8.5% | 8.5% | 17.3% | -4.0% |
| Crash Budget Hold 10% cash; deploy at -10%, all-in at -20%, rebuild 1%/mo near ATH. | 10.0% | -54.6% | 18.7% | 12.0% | 13.9% | 11.0% | 26.6% | -8.3% | 8.3% | 17.0% | -4.1% |
| 200 Day MA Risk Toggle 100% invested above 200-day MA, 50% below. Rebalance when >2% off. | 9.4% | -37.5% | 16.5% | 11.1% | 12.4% | 9.2% | 25.7% | -3.9% | 8.0% | 14.5% | -1.4% |
| Golden Cross Delayed Buy on golden cross, sell on death cross, but waits 5 days to confirm signal holds. | 9.3% | -33.7% | 3.6% | 10.7% | 9.8% | 8.8% | 23.8% | -3.2% | 8.3% | 13.9% | 3.3% |
| Adaptive MA (KAMA) Buy above Kaufman Adaptive MA, sell below. MA speeds up in trends, slows in choppy markets. | 9.3% | -33.1% | 9.3% | 5.3% | 10.1% | 8.8% | 24.0% | -0.7% | 8.9% | 15.0% | 3.3% |
| ATR Trailing Stop 2x Buy and hold with 2x ATR trailing stop (tighter). | 9.3% | -56.4% | 18.0% | 9.7% | 14.5% | 11.7% | 24.4% | -9.4% | 7.0% | 17.4% | -4.8% |
| Momentum + Trend Combo Invest when 12M return > 0 AND price > 200-day SMA. | 9.2% | -23.7% | 12.8% | 8.8% | 11.1% | 8.8% | 26.4% | -1.9% | 8.7% | 13.3% | 2.5% |
| Percent From High Scale allocation by distance from 52-week high: 100%/80%/60%/40%. | 9.2% | -34.8% | 14.9% | 10.2% | 12.0% | 9.4% | 26.1% | -2.5% | 8.3% | 14.7% | -0.4% |
| SMA Crossover 50/200 Buy on golden cross (50-day SMA > 200-day), sell on death cross. | 9.2% | -33.7% | 0.7% | 9.8% | 9.2% | 8.7% | 23.8% | -1.7% | 8.2% | 14.0% | 3.9% |
| Monthly Seasonality Weight months by historical avg returns: heavy Nov-Apr, light Jun-Sep. | 9.0% | -44.2% | 7.4% | 9.2% | 10.9% | 9.6% | 22.1% | -6.2% | 8.6% | 14.8% | -1.6% |
| Multi-Factor Regime Score from VIX + trend + momentum → allocate 0-100%. | 8.9% | -21.0% | 13.8% | 8.8% | 10.1% | 8.5% | 23.3% | -1.3% | 8.5% | 11.9% | 2.7% |
| Vol Target 15% Scale position to target 15% annualized volatility, rebalance weekly. | 8.9% | -46.6% | 11.3% | 11.0% | 12.1% | 9.6% | 22.7% | -6.7% | 8.0% | 14.4% | -2.1% |
| VIX Buy Spikes 80% base allocation, increase to 100% on VIX spikes > 35. | 8.8% | -51.8% | 15.8% | 10.2% | 12.0% | 9.6% | 23.4% | -8.3% | 7.4% | 15.1% | -3.9% |
| 200-Day MA 25% Floor 100% invested above 200-day MA, 25% below. Rebalances weekly. | 8.5% | -29.3% | 12.4% | 8.7% | 11.2% | 8.2% | 25.4% | -2.7% | 7.9% | 13.6% | -0.9% |
| ATR Trailing Stop 3x Buy and hold with 3x ATR trailing stop, re-enter on new high. | 8.3% | -60.0% | 21.6% | 12.3% | 15.2% | 10.4% | 24.4% | -10.7% | 5.7% | 17.1% | -7.2% |
| Momentum Check 6M Monthly: if SPY 6-month return > 0, invest; otherwise cash. | 8.3% | -33.7% | 4.3% | 8.6% | 7.4% | 7.6% | 24.0% | -1.8% | 7.7% | 12.7% | 2.6% |
| 200 Day MA Full Exit 100% invested above 200-day MA, 100% cash below. | 7.8% | -28.6% | 14.0% | 9.5% | 10.2% | 6.8% | 23.4% | -3.3% | 6.8% | 12.2% | -0.9% |
| Momentum Check 3M Monthly: invest if 3-month return > 0, else cash. | 7.8% | -29.3% | 14.8% | 11.8% | 10.7% | 6.6% | 21.9% | -3.9% | 6.8% | 11.2% | -1.2% |
| Vol Target 10% Scale position to target 10% annualized volatility, rebalance weekly. | 7.3% | -35.7% | 10.1% | 8.9% | 10.2% | 7.7% | 18.3% | -5.2% | 6.5% | 11.3% | -0.9% |
| Relative Strength vs Bonds SPY if SPY 12m return > TLT 12m return, else cash. | 7.2% | -47.5% | 18.3% | 12.1% | 7.8% | 5.0% | 28.3% | -5.5% | 4.4% | 11.9% | -0.2% |
| VIX Regime Switch 100% at VIX<15, 70% at VIX<25, 30% at VIX>25. | 6.9% | -32.3% | 7.8% | 7.7% | 9.2% | 6.9% | 18.5% | -3.9% | 5.5% | 10.5% | -1.3% |
| RSI(2) Pullback Buy when RSI(2) < 10, sell when RSI(2) > 90 (Connors-style). | 6.7% | -28.6% | 17.7% | 12.3% | 8.9% | 5.5% | 18.1% | -1.9% | 5.3% | 10.7% | 0.1% |
| Trend + Vol Target Above 200 MA: vol-target 12% position. Below: 100% cash. | 6.6% | -20.3% | 9.7% | 7.4% | 9.1% | 6.2% | 17.8% | -2.5% | 6.1% | 10.4% | 0.3% |
| Risk Parity Lite Sizes SPY allocation monthly — lower SPY vol relative to TLT means higher allocation. | 6.6% | -47.5% | 6.5% | 6.1% | 6.5% | 5.2% | 28.3% | -7.3% | 5.3% | 10.1% | -2.9% |
| ROC Filter Scale position by 6-month rate of change: 100%/75%/0%. | 6.5% | -24.2% | 6.5% | 7.0% | 6.7% | 5.9% | 20.0% | -3.7% | 5.8% | 9.9% | 0.8% |
| Bollinger Band Bounce Buy below lower Bollinger Band, sell above upper band. | 6.5% | -52.8% | 12.6% | 7.1% | 10.6% | 8.9% | 18.1% | -7.4% | 5.3% | 14.2% | -4.4% |
| DCA Monthly Invest $252/month equally over the full period. | 6.4% | -35.8% | 18.2% | 12.0% | 13.6% | 4.9% | 21.4% | -4.7% | 5.1% | 15.2% | -2.3% |
| 100-Day MA Filter 100% invested above 100-day MA, 100% cash below. | 6.3% | -52.0% | 14.9% | 10.3% | 11.5% | 6.6% | 18.6% | -9.7% | 6.5% | 12.1% | -4.1% |
| Sell in May 100% invested Nov–Apr, 100% cash May–Oct. | 6.2% | -34.7% | -1.9% | 3.6% | 5.4% | 6.1% | 18.7% | -4.5% | 6.6% | 11.8% | -0.6% |
| Williams %R Buy when Williams %R < -80 (oversold), sell > -20 (overbought). | 6.1% | -42.6% | 12.7% | 3.7% | 5.3% | 6.8% | 20.0% | -4.4% | 5.8% | 11.1% | -0.9% |
| Donchian Channel 55 Buy on 55-day high breakout, sell on 55-day low (Turtle-style). | 6.1% | -28.7% | 12.8% | 8.4% | 9.5% | 5.3% | 15.2% | -3.6% | 5.0% | 10.5% | -1.5% |
| January Effect 100% invested in January, 50% rest of year. | 5.9% | -36.5% | 9.9% | 7.2% | 8.7% | 6.2% | 15.4% | -5.0% | 4.8% | 9.7% | -2.4% |
| ADX Trend Filter Buy when ADX > 25 (strong trend), exit when ADX < 20. | 5.8% | -50.1% | 11.1% | 8.6% | 9.9% | 7.3% | 17.3% | -9.2% | 3.5% | 12.1% | -4.5% |
| RSI(5) Moderate Buy when RSI(5) < 20, sell when RSI(5) > 80. | 5.7% | -39.9% | 19.6% | 9.6% | 4.8% | 4.4% | 15.4% | -4.5% | 5.1% | 9.2% | 0.2% |
| Triple MA 20/50/200 Buy when 20 > 50 > 200 SMA aligned, sell when any cross breaks. | 5.5% | -19.9% | 9.9% | 7.0% | 8.7% | 5.0% | 16.3% | -2.8% | 4.3% | 9.3% | -0.1% |
| RSI Mean Reversion Buy when RSI(14) < 30 (oversold), sell when > 70 (overbought). | 5.3% | -47.5% | 4.0% | 4.7% | 6.1% | 5.8% | 17.5% | -7.8% | 5.2% | 11.7% | -4.4% |
| EMA Crossover 12/26 Buy when 12-day EMA > 26-day EMA, sell on cross down. | 5.2% | -36.2% | 19.8% | 10.4% | 8.7% | 4.1% | 15.2% | -5.7% | 4.1% | 9.5% | -2.6% |
| VIX Mean Reversion Buy when VIX > 30 (fear spike), sell when VIX < 15. | 4.8% | -60.2% | 24.9% | 8.2% | 9.9% | 5.3% | 19.0% | -12.8% | 4.0% | 11.9% | -6.6% |
| Donchian Channel 20 Buy on 20-day high breakout, sell on 20-day low. | 4.7% | -43.0% | 15.1% | 8.2% | 9.1% | 4.5% | 14.1% | -7.0% | 4.5% | 10.3% | -4.1% |
| EMA Crossover 9/21 Buy when 9-day EMA > 21-day EMA, sell on cross down. | 4.5% | -35.7% | 18.6% | 8.6% | 8.7% | 3.8% | 13.5% | -6.8% | 3.6% | 9.8% | -2.8% |
| 50-Day MA Filter 100% invested above 50-day MA, 100% cash below. | 3.9% | -40.7% | 12.0% | 5.7% | 6.5% | 3.3% | 15.7% | -7.1% | 3.3% | 7.5% | -4.1% |
| MACD Signal Buy when MACD(12,26) crosses above signal(9), sell on cross below. | 3.0% | -30.3% | -5.8% | 2.1% | 5.1% | 3.2% | 10.4% | -4.1% | 2.8% | 6.6% | -2.7% |
| Turtle System 20-day breakout entry, 10-day low exit, ATR position sizing. | 2.9% | -25.6% | 0.7% | 5.1% | 5.3% | 3.9% | 8.4% | -4.0% | 2.4% | 6.4% | -2.8% |
| Chandelier Exit Buy above 22-day high minus 3× ATR, sell below. | 1.7% | -68.0% | 7.5% | 1.9% | 6.7% | 3.3% | 14.8% | -13.9% | -0.6% | 9.8% | -10.1% |
| Parabolic SAR Buy when trailing SAR flips bullish, sell when it flips bearish. | 1.7% | -50.2% | 8.7% | 0.8% | 5.6% | 1.7% | 13.2% | -9.5% | 0.6% | 6.5% | -6.4% |
| Bollinger Squeeze Buy on Bollinger squeeze breakout, sell when price drops below SMA. | 1.1% | -15.0% | -1.6% | 2.0% | 0.7% | 0.8% | 5.9% | -3.0% | 0.5% | 2.6% | -0.6% |