The S&P500 model is a short-term LONG-SHORT model which uses the market breadth indicators as well as several technical indicators to generate Buy and Sell Signals on S&P500. I have backtested two different approaches of using the model: 1) Long Only and 2) Long-Short. The following analysis presents the data for both of these approaches.
RECENT MODEL SIGNALS
The chart above shows the S&P500 model signals from November 2022 to February 2023. I have backtested the model since January 01, 2017.
LONG-ONLY RESULTS
One of the ways to use the S&P500 model is to take long positions when the model flips LONG and stay in cash when the model is SHORT.
The results of this approach are shown in the summary table below. The strategy yielded 72% return since 2017 compared to the 84% return of the underlying SPY for the same period.
The Back-Test Results: Long Only Strategy
The Long-only Strategy Equity Curve
LONG-SHORT RESULTS
Using the strategy to enter both long and short trades is also profitable, however, generates somewhat lower results compared to the underlying index.
The long-short strategy return since January 1, 2017 is 49% compared to the 84% return of the underlying.
The Back-Test Results: Long-Short Strategy
The Long-Short Strategy Equity Curve
