3Semana·

2xSPYTIPS sell signal

(see @Epi )

The TIPS indicator is extremely positive, but the S&P 500 is clearly below its SMA.

This makes the first month with this strategy the worst since 2000, nice.

Previously the maximum drawdown was -18.9%, now it is just over -20%.

I have already warned that the strategy may not be as robust as expected, but I will continue to stick with it. I have also experimented a bit to limit the drawdown (e.g. selling at -15% within a month directly in the month and not at the end). However, this led to a significantly worse performance, as it was surprisingly often the case that the index was higher at the end of the month.

I probably have a few more months now (on average SPYTIPS is 3.88 months out of the market), maybe I can think of something else.

Here are the general stats again:

CAGR: between 16-18%pa (with money market funds)

max drawdown: -20%

Beta vs SP500: 0.91

Alpha vs SP500: approx. 8%pa

Avg time in market: 5.96 months

Avg time out market: 3.88 months

Profit probability of an in market period: 79%

Avg profit in an in market period: 15%

the money now goes into $XEON (-0%)

01.04

Amundi ETF Leveraged MSCI USA Dly ETF EURC/D

Vendido em € 20,17

15 Comentários

Tenbagger2024@Tenbagger2024

3Semana

Quite a lot of Turkey in that thing🤔

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SemiGrowth@SemiGrowth

3Semana

@Tenbagger2024 it is swap based and therefore the composition is not correct. It tracks the MSCI USA 2x long (almost equivalent to SP500 2x long)

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Sebi@Seebi

3Semana

@Tenbagger2024 There's quite a lot of them in my town too, but I get on really well with them

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Epi@Epi

3Semana

I had feared something similar when the strategy was published: that it would collapse right at the start. Now it has happened. I also lost almost 20% myself and have now put everything into cash.

Of course, this does not mean that the strategy as such is no good. It was the biggest slump in SPY for ages and the usual counterattack didn't come either. Both unusually bad. It would be really bad if SPY were to move back above the SMA200 by the end of April, only to fall another 10% by the beginning of June. I don't know if I could then stubbornly stick to the system. 🤷
Might a modification be necessary, e.g. switching to weekly trading at a certain volume level or something?
For now, I trust the logic of the model and am counting on the losses being recouped in a year at the latest. 👍

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Christian@Itsgoodtobebad

3Semana

To be honest, I have been using the strategy with the 200-day line on a daily basis since November 2023. In my view, this limits larger losses more quickly. Since the end of January, I have also added the tips indicator following Epi's advice. It's not very fee-intensive for me thanks to my account with TR.

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Epi@Epi

3Semana

@Itsgoodtobebad Have you backtested the daily signal? You may avoid major drawdowns, but you will generate significant wipsawing losses in the long term. In the end, these are greater than the drawdowns in the monthly system. 🤷

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Christian@Itsgoodtobebad

3Semana

I'm still making adjustments. Between November 2023 and March 2025, everything was always above the 200-day line. Now from March it has become tricky due to constant changes and volatility. I think you have to work with a wider corridor than the 200-day line and the tips indicator. Whether 1.2 or 5% as a corridor I cannot say yet.

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Golden Boy@randomdude

3Semana

It would be too stressful for me to potentially trade every day. Or do you get the signals as push notifications? And is this strategy more promising than regular trading, e.g. monthly?

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SemiGrowth@SemiGrowth

3Semana

@Itsgoodtobebad I had backtested this before. The result is a weaker return of 14-16%pa with higher drawdowns of up to 40%. If you had started in 2003, you wouldn't have outperformed the benchmark (SP500) sustainably until 2015. So it seems to perform worse

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SemiGrowth@SemiGrowth

3Semana

@Itsgoodtobebad can you explain what you mean by corridor, maybe I can baketest it for you

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Maxi@mhu

3Semana

@Epi Anyone ever tested the whole thing on a weekly basis? That would be the middle way

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Christian@Itsgoodtobebad

3Semana

@SemiGrowth Corridor I mean e.g. to use a 1.5 or 2% buffer for the entry or exit at the 200 day line.

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Christian@Itsgoodtobebad

3Semana

@randomdude I once read this on a daily basis in "the best ETF strategies in the world". Certainly not a scientific classic, but helpful for an initial understanding of various momentum strategies. And it's not stressful . I bought 2 times and sold 2 times in 1 1/2 years .

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SemiGrowth@SemiGrowth

3Semana

@Itsgoodtobebad I'll take a look at it in a few days

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Golden Boy@randomdude

3Semana

Also very interesting: The fund currency of $CL2 is the euro; due to the fall in the USD exchange rate in March, the performance was slightly worse than that of $DBPG. If you expect the USD exchange rate to fall in the longer term, this would be an alternative.

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