$SPY EMA Cross Strategy

This $SPY ( ▲ 0.67% )  strategy has demonstrated remarkable performance over two decades, boasting a return of ~400% while navigating through some of the most tumultuous market conditions. Let’s look at how this strategy operates with systematic rules and how it can be a critical component of a broader investment portfolio.

Introduction to the SPY EMA Cross Strategy

The SPY EMA Cross strategy is designed to trade the SPY, the S&P 500 ETF, on a long-only basis using the daily bar with defined entry and exit rules.

DISCLAIMER: This is not financial advice. Results are hypothetical, do not indicate future results, and do not represent returns any investor actually attained. All materials and all associated media are provided for the general public for educational, informational, and entertainment purposes only. We are not securities brokers/dealers, financial/investment advisers, analysts, planners, lawyers, tax advisers or accountants. The information contained herein and all associated media is not and should not be regarded as “marketing material” of any kind or an offer or a recommendation to buy or sell securities. We do not solicit any action. We do not consider the particular investment objectives, financial/legal/tax situations, or needs of individuals, and therefore none of the information we provide should be relied on as tailored or personal advice or recommendation.

Backtest Results and Performance

How has the SPY EMA Cross strategy fared over time? We backtested this strategy from January 2004 to January 2025, spanning over 21 years. Here are some of the key statistics:

- Total Return: ~400% return, a 4x increase.

- Annual Rate of Return (ROR): 8.1%, with a 14.5% ROR over the last five years.

- Sharpe Ratio: 0.89, indicating decent risk-adjusted returns.

- Maximum Drawdown: -16.9%

- Trade Frequency: 41 trades over the period, averaging ~2 trades per year.

- Win Rate and Expectancy: Win rate stands at 43.9% with an expectancy of 4.67% per trade.

- Average Exposure: 58.6%

The equity curve shows a generally smooth upward trajectory, with some significant drawdowns during the 2022-2023 correction.

Entry and Exit Rules