SPY Bear Regime Short System — Strategy by thetrading
By thetrading
Performance Metrics
- Author: thetrading
- Symbol: AMEX:SPY
- Timeframe: 1 day
- Net P&L: +7,641.09 USD (+76.41%)
- Win Rate: 68.3%
- Profit Factor: 1.649
- Max Drawdown: 3,356.74 USD (19.68%)
- Total Trades: 123
Description
SPY Bear Regime Short SystemA rules-based short-selling strategy designed to profit during bear market regimes. Backtested on SPY daily data from 1994 to 2025 using Wealth-Lab 8.The system identifies weak counter-trend bounces within established downtrends and shorts them with mechanical entry and exit rules. No discretion, no optimization — just objective conditions applied consistently over 30 years.ENTRY CONDITIONS (all four must be true):1. Close is below the 250-period simple moving average (bear regime confirmed)2. Close is above the 5-period simple moving average (short-term bounce in progress)3. 3-period RSI crosses above 70 (bounce is becoming overbought)4. Close is at least 2% below the 250-period MA (keeps you away from the MA where direction is ambiguous)EXIT CONDITIONS (first one triggered):1. Close drops back below the 5-period MA (bounce has failed — trade worked)2. Close rises above the 250-period MA (bear regime may be ending — get out)All entries and exits are executed at the next bar open.BACKTEST RESULTS (SPY daily, 1994–2025):Win rate: 70.16%Average winner: +1.77% — average hold 3.1 barsAverage loser: -2.12% — average hold 5.0 barsBEAR MARKET PERFORMANCE vs SPY:2000: System +8.31% | SPY -10.53%2001: System +21.10% | SPY -12.86%2002: System +1.55% | SPY -22.78%2008: System +35.29% | SPY -36.71%2022: System +20.29% | SPY -18.11%HOW TO USE:Apply to SPY on the daily timeframe. The 250 MA (yellow) and 5 MA (white) plot on the price chart. The companion RSI indicator plots in a separate pane below. Short entry signals appear as red triangles above the bar. Exit signals appear as green triangles below the bar.Because SPY correlation with large-cap stocks runs high during bear markets, signals can also serve as a regime filter for shorting individual names or sector ETFs.INPUTS (adjustable in settings):- Long MA length (default 250)- Short MA length (default 5)- RSI length (default 3)- RSI overbought threshold (default 70)- Minimum % gap below long MA (default 2%)Find more systems at:TradingTimeMachine.com/systemsDISCLAIMER:Past performance is not indicative of future results. This script is for educational purposes only and does not constitute financial advice. Always do your own research before trading.