$SPY Serenity Surge Strategy

This $SPY Serenity Surge Strategy has demonstrated solid risk-adjusted performance over two decades, delivering a 15% Exposure-Adjusted Return while navigating through various 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 Serenity Surge Strategy

The SPY Serenity Surge 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 Serenity Surge strategy fared over time? We backtested this strategy from January 2nd, 2004 to January 31st, 2025, spanning over 20.7 years. Here are some of the key statistics:

• Total Return: 2.3x

• Rate of Return: 6.0%,

• ROR (Last 5 Years): 6.8%

• Sharpe Ratio: 0.78

• Maximum Drawdown: -15.2%

• Trade Frequency: 139 trades over the period

• Win Rate and Expectancy: Win rate stands at 65.5% with an expectancy of 0.90% per trade.

• Average Exposure: 40.1%

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

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: 2020 (+22.1%)

Worst Annual Return: 2022 (-9.2%)

18 out of the 21 completed years had positive returns

Entry and Exit Rules