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A swing trading strategy based on the well-documented turn-of-the-month effect – backtested on the SPY ETF and the S&P 500 cash index going back to 1960
this version uses modified parameters for improved results – backtested on the SPY ETF for consistent mean-reversion performance
55% average gain per trade✅ 61% win rate✅ Profit factor: 1
1% annual return (CAGR)✅ 10% market exposure✅ Risk-adjusted return: 39%✅ Max drawdown: -18%
9% annual return (CAGR)✔️ 62% market exposure✔️ Risk-adjusted return: 9
Short Strategy – Russell 2000 (IWM) (#79) Volatility Trading A swing trading strategy basedA short only swing trading strategy backtested on the IWM ETF tracking the Russell 2000 index designed to capitalize on market pullbacks with minimal exposure. This was our monthly trading edge for April 2024. 167 trades 0. 6% average gain per trade 65% win rate Profit factor: 2. 3 3. 9% annual return (CAGR) 4% market exposure Risk adjusted return: 86% Max drawdown: 11% Youll get the full trading rules ready to test and validate. Some example code for
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