A Trading System for the SP500

Chart comparing the Profit and Loss of trading SSO with SPW vs buying and holding the SP500 index

Why this Blog

This blog has been created to showcase a trading system based on the S&P 500 index which I have named SPW, for S&P Woodpecker. It has been trained using data from to 2006 to 2022, and later tested for one year. After this sucessful test period, the idea came to me to build a public record of SPW’s performance. The system’s compound avarage growth rate from 2006 is about 20%, with a maximum drawdown (deepest drop from previous highs) of 22%.

Of course, past performances may, and will, differ from future ones, and in no way I suggest that anyone base their trading decissions based on the content of this blog. I think it will be interesting to see if SPW continues to perform consistently and proves to be a realiable trading system.

How to keep updated on SPW

Each trading day, the blog will include a new post that shows the status of the strategy and whether to buy or sell SSO (if at all). The system is recalculated at the end of each trading session, and will typically appear (hardware and software allowing) about 30 minutes after Market close.

There is a chart that is updated daily which illustrates SPW’s performance in comparison to the SP500 index over the span of a year ending in today’s date. The chart shows how well (or bad) SPW meassures up to the SP500 index. It graphs the Profit and Loss (PnL) value based on a theoretical $10,000 initial capital.

When the system does not hold any titles, it shows as an horizontal line. When it is in the market, it will show similar variations as the SP500.

Bellow the chart, there are the latest 10 posts. The title of each post shows the basic information: the current trend (whether up or down), the status (in or out), the Action (buy / sell / none) and the current trade’s PnL (in case it is in the market). Inside each post there is a comparative summary of the system’s performance starting in october 2023, when this blog started its operation.

There is a navigation menu below the logo that allows access to pages that provide additional information, such as a description of the system, how it trades, a log of all historical trades during the training and test periods, and additional information on alternatives to SSO, the traded ETF, in case it is not available to trade for any reason.