SPY-2h (E.Trader) - Long-Only StrategySummary
Strategy on SPY, 2h timeframe (2000-2025).
Initial capital: 100,000 USD, 100% reinvest.
Long-only strategy with realistic commissions and slippage (Interactive Brokers: $0.005/share, 3 ticks).
Key results (2000-2025)
• Total P&L: +1,792,104 USD (+1,739.88%)
• CAGR: 11.4% (vs Buy & Hold: 6.7%) → ~1.7x higher annualized return
• Profit factor: 3.23
• Winning trades: 67.43%
• Max drawdown: 21.56%
• Time in the market: ~59% (trading days basis)
• Buy & Hold return: +358.61% → Strategy outperforms by ~4.8x
Strategy logic
• Restricted to SPY on ARCA, in 2h timeframe
• Long entries only (no shorts)
• Exploits two major biases: 1) trends and 2) overreactions
• Excludes very high VIX periods
• Implements calculated stop-losses
• Integrates commission and slippage to reflect real trading conditions (based on Interactive Brokers usage)
Focus 2008-2009 (financial crisis)
• Total P&L: +35,301 USD (+35.30%)
• Profit factor: 3.367
• Winning trades: 80%
• Max drawdown: 15.05%
Even at the height of 2008, the strategy remained profitable, while Buy & Hold was still showing a -22% loss two years later.
Focus 2020 (COVID crash)
• Total P&L: +22,463 USD (+22.46%)
• Profit factor: 4.152
• Winning trades: 72.73%
• Max drawdown: 9.91%
During the COVID mini-crash, the strategy still ended the year +22.46%, almost double Buy & Hold (+12.52%), with limited drawdown.
Observations
• Strong outperformance vs Buy & Hold with less exposure
• Robust across crises (2008, COVID-2020)
• Limited drawdowns, faster recoveries
Model validation and parameter weighting
To check robustness and avoid overfitting, I use a simple weighted-parameters ratio (explained in more detail here: Reddit post ).
In this strategy:
• 4 primary parameters (weight 1)
• 5 secondary parameters (weight 0.5)
• Weighted param count = 4×1 + 5×0.5 = 6.5
• Total trades = 267
• Ratio = 267 ÷ 6.5 ≈ 41
Since this ratio is well above the 25 threshold I usually apply, it appears the model is not overfitted according to my experience — especially given its consistent gains even through crises such as 2008 and COVID-2020.
Disclaimer
This is an educational backtest. It does not constitute investment advice.
Past performance does not guarantee future results. Use at your own risk.
Further notes
In practice, systematic strategies like this are usually executed through automation to avoid human bias and ensure consistency. For those interested, I share more about my general approach and related tools here (personal site): emailtrader.app
2h
3 RSI 6sma/ema ribbon crypto strategyThis is a very efficient swing trading strategy designed for crypto long timeframes like 2h+.
Initially we have 3 RSI .
AFter that we use them as source for 6 SMA/EMA for each RSI, 5, 30, 50, 70, 90, 100. With those we create a ribbon that we are going to use in order to check the direction of the trend.
Rules for entry:
For long : if either all the SMA/EMA's from the 2nd RSI are telling us to go long, or all the all SMA/EMA's from the 3rd rsi are telling us to go long F
For short : if either all the SMA/EMA's from the 2nd RSI are telling us to go short, or all the all SMA/EMA's from the 3rd rsi are telling us to go short
We exit when we get an opposite condition than the entry one.
Caution: this strategy has no risk management inside, so use it with caution. If you have any questions , let me know !
