Strategy 14_SPY -- Money flow and breadth
A simple SPY mean reversion strategy using the money flow indicator and a simple regime filter. CAGR 1.79, MaxDD -5.5, 69% accuracy, PF 2.17, and Sharpe of .68.
Disclaimer: the following post is an organized representation of my research and project notes. It doesn’t represent any type of advice, financial or otherwise. Its purpose is to be informative and educational. Backtest results are based on historical data, not real-time data. There is no guarantee that these hypothetical results will continue in the future. Day trading is extremely risky, and I do not suggest running any of these strategies live.
It took me a while to get this strategy out. I dropped two futures strategies (12 and 13) in early October, and now we kick of November (and election day) with a SPY (ETF) strategy. I plan on focusing on ETFs and baskets of ETFs for the next few strategies while I learn more about building rotational strategies and routinely rebalanced portfolio style strategies.
I am experimenting with a Signal chat group as well. Nothing crazy, just a chat group to talk about trading for the day. If there are any subscribers that are interested in joining the chat group, reach out to me.
The forum is still up and running. There isn't much going on in it right now, but I have decided to keep it for a little bit. There are two ways to get access to the forum: becoming a Red Team member or by jumping over the HGT Patreon page and subscribing. Link below:
This strategy uses the Chaikin’s Money Flow indicator. I went over this indicator in a previous publication. Link below:
Let's get into it.
Strategy 14 Report
Strategy 14 Logic
The rest of this post is for paid subscribers. Paid subscribers will have access to all paid publications, strategies, code associated with posts, and access to the HGT chat room. Red Team members will have access to the community GitHub and more.