$SPY Wave Chaser Strategy

This $SPY ( ▲ 2.11% ) Wave Chaser Strategy has demonstrated consistent performance over two decades, delivering a 20.7% Exposure-Adjusted Return while being invested only 21% of the time and navigating through various market conditions. Let’s look at how this strategy operates with systematic rules and how it can be a component of a broader investment portfolio.

Introduction to the SPY Wave Chaser Strategy

The SPY Wave Chaser 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.

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 Wave Chaser 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): 4.6%

• Sharpe Ratio: 0.58

• Maximum Drawdown: -13.3%

• Trade Frequency: 229 trades over the period

• Win Rate: 62.0%

• Expectancy: 0.41% per trade.

• Average Exposure: 21.0%

The equity curve shows a generally smooth upward trajectory, though with noticeable drawdowns, particularly the largest occurring in 2008.

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: 2008 (+18.7%)

• Worst Annual Return: 2015 (-1.9%)

• 17 out of the 21 completed years (2004-2024) had positive returns

Entry and Exit Rules