In this article we review 2019 performance results for 12 trend-following and mean reversion strategies applied to SPY.
Eight trend-following strategies are listed below.
| Rules | Timeframe | Name |
| Long: SMA(50) > SMA(200) Exit: SMA(50) < SMA(200) | Daily | 50D200L |
| Long : SMA(50) > SMA(200) Short: SMA(50) < SMA(200) | Daily | 50D200LS |
| Long: C > SMA(200) Exit: C < SMA(200) | Dally | 1D200L |
| Long: C > SMA(200) Short: C < SMA(200) | Daily | 1D200LS |
| Long: C > SMA(12) Exit: C < SMA(12) | Monthly | 1M12L |
| Long: C > SMA(12) Short: C < SMA(12) | Monthly | 1M12LS |
| Long: AMAV > SMA(200) Exit: AMAV < SMA(200) | Daily | AMAVL* |
| Long: AMAV > SMA(200) Short: AMAV < SMA(200) | Daily | AMAVLS* |
*Proprietary volatility adaptive moving average. Click here for more details.
Three mean-reversion strategies are listed below.
| Rules | Timeframe | Name |
| Long: RSI(2) < 10 Exit: RSI(2) > 70 | Daily | RSI2L |
| Long : (C-L)/(H-L) < 0.2 Exit: (C-L)/(H-L) > 0.8 | Daily | IBSL |
| Long: PSI5* Exit: PSI5 | Dally | PSI5L |
*Proprietary mean-reversion algo. Click here for more details.
All positions are established at the open of the next bar. Equity is fully invested with $0.01 commission per share used in all backtests. Backtest period is from 01/02/2019 to 12/27/2019.
Results for 2019
| Strategy | Return | Max. Drawdown |
| 50D200L | +16.5% | -11% |
| 50D200SL | +3.0% | -34% |
| 1D200L | +15.0% | -14% |
| 1D200SL | +0.6% | -23% |
| 1M12L | +6.6% | -20% |
| 1M12LS** | -15.9% | -39% |
| AMAVL | +18.5% | -10% |
| AMAVLS | +2.9% | -18% |
| RSI2L | -0.8% | -5% |
| IBSL | +12.7% | -4% |
| PSI5L | +16.5% | -7% |
| AMAVLPSI5* | +25.8% | -7% |
*Extra strategy combining volatility adaptive trend-following and mean-reversion. Click here for more details.
**Edit on 12/29/2019: Correct return is -15.9%, not -18.5%.
From the trend-following strategies, 50/200 long-only cross performed relatively well. Our volatility adaptive moving average gained the most with 18.5% return. Long-short strategies underperformed with the monthly 1M12LS getting hit with a big loss.
From the mean reversion strategies, IBSL performed well given scarcity of mean-reversion signals this year. Our PSI5 algo gained the most with 16.5% return. RSI2 was unable to perform due to lack of signals and maybe due to popularity.
The combined volatility adaptive moving average plus PSI mean-reversion generated 25.8% return and that came closest to the 31.6% total return of SPY.
Charting and backtesting program: Amibroker
Data provider: Norgate Data
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