$SPY RSI Cross Strategy

The $SPY ( ▲ 0.72% )  RSI Cross Strategy has demonstrated positive performance over two decades, delivering a 12.2% Exposure-Adjusted Return while being invested 35.5% of the time.

Introduction to the SPY RSI Cross Strategy

The SPY RSI Cross strategy is designed to trade the SPY (SPDR S&P 500 ETF), on a long-only basis using the daily bar with defined entry and exit rules based primarily on the Relative Strength Index (RSI) indicator.

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 RSI Cross strategy fared over time? We backtested this strategy from January 2nd, 2004 to January 31st, 2025, spanning 21 years. Here are some of the key statistics:

• Total Return: 1.4x

• Rate of Return (Annualized): 4.3%

• ROR (Last 5 Years): 8.6%

• Sharpe Ratio: 0.63

• Maximum Drawdown: -15.2%

• Trade Frequency: 173 trades over the period

• Win Rate: 68.2%

• Profit Factor: 1.89

• Expectancy: 0.54% per trade.

• Average Exposure: 35.5%

• Exposure-Adjusted Return: 12.2%

The equity curve shows an upward trend over the 21-year period, albeit with expected drawdowns mirroring market volatility, with a -15.2% Maximum Drawdown in 2013.

This table presents yearly and monthly percentage returns, along with total annual returns and annual maximum drawdowns (MaxDD). Here are the key takeaways:

• Highest Annual Return: 2013 (+17.7%)

• Worst Annual Return: 2011 (-11.5%)

• 14 out of 21 completed years (2004-2024) with positive returns.

Entry and Exit Rules