Recruitment of participants Long volatility swing trade in SPY (S&P 500)

Strategy 17: Long volatility swing trade in SPY (S&P 500)

The strategy has two variables for entry and one for exit. The strategy is a volatility long strategy and about 65% of the trades enter on a day where the close is higher than the previous close, even high RSI. (Thus, it might work well with mean reversion strategies.

This strategy was our monthly Trading Edge for February 2022.

Facts and figures (SPY):

• No. of trades: 397
• Average gain per trade: 0.42% (0.95% for winners and -1.2% for losers)
• Win ratio: 76%
• Profit factor: 2.3
• CAGR: 5.3% (assuming no leverage)
• Exposure/time in the market: 14%
• Risk-adjusted return: 36% (CAGR divided by time spent in the market (0.62))
• Max. drawdown: -16%

The equity curve (log scale):