SPY Bear-Regime Shorting with Moving Averages and RSI

Summary

This strategy seeks short entries during broad downtrends in SPY. It defines the bear regime as price below a 250-period simple moving average, then looks for a short-term bounce: price must be above its 5-period average while a 3-period RSI crosses above an overbought threshold. An additional filter requires price to remain at least a specified percentage below the long moving average. The script enters only when flat and closes a short if price falls below the short average or rises above the long average.

The page says the system was backtested on daily SPY data from 1994 to 2025, but it provides no performance statistics or detailed test results in the available text. The rules include stated commission and slippage assumptions, yet the excerpt ends before all accompanying explanation is shown. The setup is therefore best treated as a testable rule set, not evidence of profitability; parameter sensitivity, short-sale costs, execution assumptions, and performance across different market regimes remain important considerations.

Key ideas

• A close below the 250-period average defines the system's bear regime.
• The short setup combines a bounce above the 5-period average with an overbought RSI crossover.
• An additional distance filter keeps entries sufficiently below the long average.
• Short positions close when price falls below the short average or rises above the long average.
• The page reports a long historical backtest period but supplies no performance metrics in the excerpt.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.