From Seekingalpha · Michael James McDonald · · 50s
SPY 260-Day Strategy Ends Bull Market
A 260-day moving average strategy for SPY reduces bull market drawdowns with 6.4% annual returns.
In brief
A 260-day moving average strategy for SPY reduces bull market drawdowns with 6.4% annual returns. Michael James McDonald's SPY 260-day strategy cuts bull market drawdowns by 39% with 6.4% annual returns. Originally reported by Seekingalpha.
SPY 260-Day Strategy
This strategy uses a 260-day moving average to reduce drawdowns during bear markets or sideways markets.
Backtesting Results
Back testing from 1999 to 2011 showed the strategy compounded at 6.4% annually versus SPY’s 1.9% with a max drawdown of 15% versus 55%.
Current Position
The strategy is fully invested in SPY with an 8.6% cushion above the sell trigger.
Historical Performance
Since SPY inception, the strategy matches buy-and-hold returns but trades off ~3% annual underperformance in persistent bull markets.
The bottom line
Michael James McDonald's SPY 260-day strategy cuts bull market drawdowns by 39% with 6.4% annual returns.
