SPY (SPDR S&P 500 ETF) SMA(10)/SMA(200) crossover strategy - with 2.0x leverage via call options

Backtest a SPY (SPDR S&P 500 ETF) crossover strategy: it buys when 10-day SMA crosses above 200-day SMA by 0.3% of the stock price, it sells when 10-day SMA falls below 200-day SMA by 0.3% of the stock price. Uses 2.0x leverage via call options with 2.0% annual time decay. Uninvested cash earns 4.0% risk-free interest.

What the Strategy Suggests Today

The 10-day SMA is $632.78, and the 200-day SMA is $587.97, for a difference of $44.80. The current stock price is $636.58, and 0.3% of that is $1.91. Since the difference is sufficient and exceeds the threshold, the buy signal is active.

The 10-day SMA is $632.78, and the 200-day SMA is $587.97, for a difference of $44.80. The current stock price is $636.58, and 0.3% of that is $1.91. Since the difference is insufficient and does not exceed the threshold, the sell signal is not active.

If you have been following this strategy, you are currently holding stocks or call options. No sell signal is active. The strategy suggests continuing to hold the current position.

Performance Overview

Beginning with an initial investment of $10,000.00 on 1993-01-29, the portfolio value reached a value of $443,391.31 by 2025-07-30. This represents a 4,333.91% total gain over 32.50 years, equivalent to 12.38% annualized. This return is moderately above long-term averages. It reflects solid long-term performance and an effective strategy.

Drawdown and Risk

The maximum drawdown recorded during this period was 38.11%. This drawdown began after a peak portfolio value of $226,682.64 on 2020-02-19, and reached its lowest point on 2020-06-26 when the portfolio value fell to $140,300.14. The drawdown lasted for 128 days.

The drawdown was moderate and aligns with the type of volatility observed in many broad market assets over extended periods. The maximum drawdown lasted over three months, often seen in deeper corrections or extended periods of market stress.

The Calmar Ratio — annualized return divided by maximum drawdown — was 0.32, reflecting the tradeoff between return and volatility. A moderate return-to-risk profile. The strategy handled risk reasonably well while delivering decent returns.

Transaction Timeline

We began our backtest on 1993-01-29 with $10,000.00 starting capital.

On 1993-03-08, the 10-day SMA at $44.64 crossed above the 200-day SMA at $44.43, exceeding it by 0.3% of the stock price ($45.75). We invested $10,040.89 — which includes $40.89 in interest earned while holding cash for 38 days — gaining exposure to 438.95 equivalent shares.

On 1993-04-26, the 10-day SMA at $44.47 fell below the 200-day SMA at $44.65 by 0.3% of the stock price ($43.41), triggering our exit. After holding the position for 49 days, we exited leaving $8,958.69 in available cash.

On 1993-05-27, the 10-day SMA at $44.82 crossed above the 200-day SMA at $44.61, exceeding it by 0.3% of the stock price ($45.44). We invested $8,988.56 — which includes $29.87 in interest earned while holding cash for 31 days — gaining exposure to 395.64 equivalent shares.

On 1994-03-31, the 10-day SMA at $46.02 fell below the 200-day SMA at $46.26 by 0.3% of the stock price ($44.59), triggering our exit. After holding the position for 308 days, we exited leaving $8,352.01 in available cash.

On 1994-08-19, the 10-day SMA at $46.27 crossed above the 200-day SMA at $46.11, exceeding it by 0.3% of the stock price ($46.42). We invested $8,479.43 — which includes $127.42 in interest earned while holding cash for 141 days — gaining exposure to 365.32 equivalent shares.

On 1994-10-05, the 10-day SMA at $45.99 fell below the 200-day SMA at $46.15 by 0.3% of the stock price ($45.39), triggering our exit. After holding the position for 47 days, we exited leaving $8,059.42 in available cash.

On 1994-10-18, the 10-day SMA at $46.30 crossed above the 200-day SMA at $46.14, exceeding it by 0.3% of the stock price ($46.84). We invested $8,070.68 — which includes $11.26 in interest earned while holding cash for 13 days — gaining exposure to 344.58 equivalent shares.

On 1994-11-30, the 10-day SMA at $45.85 fell below the 200-day SMA at $46.00 by 0.3% of the stock price ($45.59), triggering our exit. After holding the position for 43 days, we exited leaving $7,602.28 in available cash.

On 1995-01-05, the 10-day SMA at $46.01 crossed above the 200-day SMA at $45.85, exceeding it by 0.3% of the stock price ($46.00). We invested $7,631.73 — which includes $29.45 in interest earned while holding cash for 36 days — gaining exposure to 331.81 equivalent shares.

On 1996-07-26, the 10-day SMA at $63.35 fell below the 200-day SMA at $63.56 by 0.3% of the stock price ($63.72), triggering our exit. After holding the position for 568 days, we exited leaving $13,033.70 in available cash.

On 1996-08-05, the 10-day SMA at $64.12 crossed above the 200-day SMA at $63.74, exceeding it by 0.3% of the stock price ($66.17). We invested $13,047.71 — which includes $14.00 in interest earned while holding cash for 10 days — gaining exposure to 394.36 equivalent shares.

On 1998-09-02, the 10-day SMA at $104.82 fell below the 200-day SMA at $106.17 by 0.3% of the stock price ($99.34), triggering our exit. After holding the position for 758 days, we exited leaving $25,034.52 in available cash.

On 1998-11-02, the 10-day SMA at $108.14 crossed above the 200-day SMA at $107.69, exceeding it by 0.3% of the stock price ($111.88). We invested $25,199.04 — which includes $164.52 in interest earned while holding cash for 61 days — gaining exposure to 450.49 equivalent shares.

On 1999-09-29, the 10-day SMA at $130.05 fell below the 200-day SMA at $130.65 by 0.3% of the stock price ($126.81), triggering our exit. After holding the position for 331 days, we exited leaving $31,015.56 in available cash.

On 1999-11-03, the 10-day SMA at $132.37 crossed above the 200-day SMA at $131.67, exceeding it by 0.3% of the stock price ($135.50). We invested $31,132.35 — which includes $116.79 in interest earned while holding cash for 35 days — gaining exposure to 459.52 equivalent shares.

On 2000-09-28, the 10-day SMA at $144.43 fell below the 200-day SMA at $144.99 by 0.3% of the stock price ($145.00), triggering our exit. After holding the position for 330 days, we exited leaving $34,373.71 in available cash.

On 2002-03-13, the 10-day SMA at $115.67 crossed above the 200-day SMA at $115.21, exceeding it by 0.3% of the stock price ($116.04). We invested $36,390.67 — which includes $2,016.95 in interest earned while holding cash for 531 days — gaining exposure to 627.21 equivalent shares.

On 2002-04-08, the 10-day SMA at $113.69 fell below the 200-day SMA at $114.15 by 0.3% of the stock price ($112.93), triggering our exit. After holding the position for 26 days, we exited leaving $34,337.38 in available cash.

On 2003-04-22, the 10-day SMA at $88.74 crossed above the 200-day SMA at $88.35, exceeding it by 0.3% of the stock price ($91.34). We invested $35,763.67 — which includes $1,426.29 in interest earned while holding cash for 379 days — gaining exposure to 783.09 equivalent shares.

On 2004-07-26, the 10-day SMA at $110.39 fell below the 200-day SMA at $111.01 by 0.3% of the stock price ($108.75), triggering our exit. After holding the position for 461 days, we exited leaving $47,586.93 in available cash.

On 2004-09-14, the 10-day SMA at $112.52 crossed above the 200-day SMA at $111.96, exceeding it by 0.3% of the stock price ($113.66). We invested $47,843.12 — which includes $256.19 in interest earned while holding cash for 50 days — gaining exposure to 841.86 equivalent shares.

On 2004-09-30, the 10-day SMA at $111.82 fell below the 200-day SMA at $112.25 by 0.3% of the stock price ($111.76), triggering our exit. After holding the position for 16 days, we exited leaving $46,160.54 in available cash.

On 2004-10-08, the 10-day SMA at $112.77 crossed above the 200-day SMA at $112.39, exceeding it by 0.3% of the stock price ($112.51). We invested $46,200.21 — which includes $39.67 in interest earned while holding cash for 8 days — gaining exposure to 821.26 equivalent shares.

On 2004-10-20, the 10-day SMA at $111.78 fell below the 200-day SMA at $112.42 by 0.3% of the stock price ($110.52), triggering our exit. After holding the position for 12 days, we exited leaving $44,505.75 in available cash.

On 2004-11-04, the 10-day SMA at $112.93 crossed above the 200-day SMA at $112.39, exceeding it by 0.3% of the stock price ($116.55). We invested $44,577.50 — which includes $71.74 in interest earned while holding cash for 15 days — gaining exposure to 764.95 equivalent shares.

On 2005-04-27, the 10-day SMA at $115.24 fell below the 200-day SMA at $115.75 by 0.3% of the stock price ($115.65), triggering our exit. After holding the position for 174 days, we exited leaving $43,043.98 in available cash.

On 2005-05-09, the 10-day SMA at $116.37 crossed above the 200-day SMA at $116.00, exceeding it by 0.3% of the stock price ($117.82). We invested $43,099.48 — which includes $55.50 in interest earned while holding cash for 12 days — gaining exposure to 731.62 equivalent shares.

On 2005-10-14, the 10-day SMA at $119.29 fell below the 200-day SMA at $120.04 by 0.3% of the stock price ($118.67), triggering our exit. After holding the position for 158 days, we exited leaving $42,979.77 in available cash.

On 2005-11-07, the 10-day SMA at $120.60 crossed above the 200-day SMA at $120.15, exceeding it by 0.3% of the stock price ($122.23). We invested $43,090.68 — which includes $110.91 in interest earned while holding cash for 24 days — gaining exposure to 705.08 equivalent shares.

On 2006-06-15, the 10-day SMA at $125.61 fell below the 200-day SMA at $126.22 by 0.3% of the stock price ($126.12), triggering our exit. After holding the position for 220 days, we exited leaving $44,799.30 in available cash.

On 2006-08-04, the 10-day SMA at $127.42 crossed above the 200-day SMA at $127.00, exceeding it by 0.3% of the stock price ($128.20). We invested $45,040.48 — which includes $241.18 in interest earned while holding cash for 50 days — gaining exposure to 702.66 equivalent shares.

On 2007-08-16, the 10-day SMA at $144.91 fell below the 200-day SMA at $145.47 by 0.3% of the stock price ($142.10), triggering our exit. After holding the position for 377 days, we exited leaving $52,947.25 in available cash.

On 2007-09-04, the 10-day SMA at $146.65 crossed above the 200-day SMA at $145.97, exceeding it by 0.3% of the stock price ($149.08). We invested $53,055.39 — which includes $108.14 in interest earned while holding cash for 19 days — gaining exposure to 711.77 equivalent shares.

On 2007-11-15, the 10-day SMA at $147.85 fell below the 200-day SMA at $148.47 by 0.3% of the stock price ($145.54), triggering our exit. After holding the position for 72 days, we exited leaving $50,120.68 in available cash.

On 2007-12-13, the 10-day SMA at $149.18 crossed above the 200-day SMA at $148.70, exceeding it by 0.3% of the stock price ($149.06). We invested $50,271.61 — which includes $150.93 in interest earned while holding cash for 28 days — gaining exposure to 674.52 equivalent shares.

On 2007-12-20, the 10-day SMA at $148.01 fell below the 200-day SMA at $148.88 by 0.3% of the stock price ($146.80), triggering our exit. After holding the position for 7 days, we exited leaving $48,709.04 in available cash.

On 2009-06-05, the 10-day SMA at $92.58 crossed above the 200-day SMA at $92.18, exceeding it by 0.3% of the stock price ($94.55). We invested $51,578.23 — which includes $2,869.19 in interest earned while holding cash for 533 days — gaining exposure to 1,091.03 equivalent shares.

On 2010-05-27, the 10-day SMA at $110.21 fell below the 200-day SMA at $110.65 by 0.3% of the stock price ($110.76), triggering our exit. After holding the position for 356 days, we exited leaving $67,253.33 in available cash.

On 2010-09-21, the 10-day SMA at $112.50 crossed above the 200-day SMA at $111.88, exceeding it by 0.3% of the stock price ($113.98). We invested $68,103.62 — which includes $850.29 in interest earned while holding cash for 117 days — gaining exposure to 1,195.01 equivalent shares.

On 2011-08-05, the 10-day SMA at $127.81 fell below the 200-day SMA at $128.81 by 0.3% of the stock price ($120.08), triggering our exit. After holding the position for 318 days, we exited leaving $73,024.43 in available cash.

On 2012-01-06, the 10-day SMA at $126.55 crossed above the 200-day SMA at $126.03, exceeding it by 0.3% of the stock price ($127.71). We invested $74,242.07 — which includes $1,217.64 in interest earned while holding cash for 154 days — gaining exposure to 1,162.67 equivalent shares.

On 2012-11-20, the 10-day SMA at $137.83 fell below the 200-day SMA at $138.47 by 0.3% of the stock price ($139.19), triggering our exit. After holding the position for 319 days, we exited leaving $84,999.05 in available cash.

On 2012-11-29, the 10-day SMA at $139.62 crossed above the 200-day SMA at $138.66, exceeding it by 0.3% of the stock price ($142.12). We invested $85,081.23 — which includes $82.19 in interest earned while holding cash for 9 days — gaining exposure to 1,197.32 equivalent shares.

On 2014-10-20, the 10-day SMA at $189.98 fell below the 200-day SMA at $190.71 by 0.3% of the stock price ($190.30), triggering our exit. After holding the position for 690 days, we exited leaving $136,281.51 in available cash.

On 2014-10-28, the 10-day SMA at $192.42 crossed above the 200-day SMA at $191.07, exceeding it by 0.3% of the stock price ($198.41). We invested $136,398.64 — which includes $117.12 in interest earned while holding cash for 8 days — gaining exposure to 1,374.92 equivalent shares.

On 2015-08-24, the 10-day SMA at $205.59 fell below the 200-day SMA at $207.79 by 0.3% of the stock price ($189.50), triggering our exit. After holding the position for 300 days, we exited leaving $119,674.70 in available cash.

On 2015-11-03, the 10-day SMA at $207.53 crossed above the 200-day SMA at $206.31, exceeding it by 0.3% of the stock price ($211.00). We invested $120,590.61 — which includes $915.91 in interest earned while holding cash for 71 days — gaining exposure to 1,143.04 equivalent shares.

On 2015-12-18, the 10-day SMA at $204.92 fell below the 200-day SMA at $206.30 by 0.3% of the stock price ($200.02), triggering our exit. After holding the position for 45 days, we exited leaving $107,450.89 in available cash.

On 2016-03-22, the 10-day SMA at $202.79 crossed above the 200-day SMA at $201.85, exceeding it by 0.3% of the stock price ($204.56). We invested $108,552.65 — which includes $1,101.75 in interest earned while holding cash for 95 days — gaining exposure to 1,061.33 equivalent shares.

On 2018-10-24, the 10-day SMA at $275.00 fell below the 200-day SMA at $276.47 by 0.3% of the stock price ($265.32), triggering our exit. After holding the position for 946 days, we exited leaving $161,613.12 in available cash.

On 2019-02-22, the 10-day SMA at $275.48 crossed above the 200-day SMA at $274.50, exceeding it by 0.3% of the stock price ($279.14). We invested $163,726.71 — which includes $2,113.59 in interest earned while holding cash for 121 days — gaining exposure to 1,173.08 equivalent shares.

On 2020-03-09, the 10-day SMA at $301.43 fell below the 200-day SMA at $304.79 by 0.3% of the stock price ($274.23), triggering our exit. After holding the position for 381 days, we exited leaving $151,132.35 in available cash.

On 2020-06-03, the 10-day SMA at $302.30 crossed above the 200-day SMA at $300.12, exceeding it by 0.3% of the stock price ($312.18). We invested $152,534.50 — which includes $1,402.16 in interest earned while holding cash for 86 days — gaining exposure to 977.22 equivalent shares.

On 2022-02-22, the 10-day SMA at $443.08 fell below the 200-day SMA at $444.74 by 0.3% of the stock price ($429.57), triggering our exit. After holding the position for 629 days, we exited leaving $256,667.36 in available cash.

On 2022-03-30, the 10-day SMA at $450.27 crossed above the 200-day SMA at $447.12, exceeding it by 0.3% of the stock price ($458.70). We invested $257,661.50 — which includes $994.14 in interest earned while holding cash for 36 days — gaining exposure to 1,123.44 equivalent shares.

On 2022-04-14, the 10-day SMA at $446.29 fell below the 200-day SMA at $448.39 by 0.3% of the stock price ($437.79), triggering our exit. After holding the position for 15 days, we exited leaving $233,751.05 in available cash.

On 2023-01-25, the 10-day SMA at $396.59 crossed above the 200-day SMA at $395.25, exceeding it by 0.3% of the stock price ($400.35). We invested $241,041.26 — which includes $7,290.21 in interest earned while holding cash for 286 days — gaining exposure to 1,204.15 equivalent shares.

On 2023-10-30, the 10-day SMA at $421.43 fell below the 200-day SMA at $423.11 by 0.3% of the stock price ($415.59), triggering our exit. After holding the position for 278 days, we exited leaving $252,071.29 in available cash.

On 2023-11-09, the 10-day SMA at $427.63 crossed above the 200-day SMA at $424.49, exceeding it by 0.3% of the stock price ($433.84). We invested $252,342.12 — which includes $270.83 in interest earned while holding cash for 10 days — gaining exposure to 1,163.30 equivalent shares.

On 2025-03-14, the 10-day SMA at $568.19 fell below the 200-day SMA at $572.55 by 0.3% of the stock price ($562.81), triggering our exit. After holding the position for 491 days, we exited leaving $388,756.79 in available cash.

On 2025-05-19, the 10-day SMA at $578.63 crossed above the 200-day SMA at $574.64, exceeding it by 0.3% of the stock price ($594.85). We invested $391,521.80 — which includes $2,765.01 in interest earned while holding cash for 66 days — gaining exposure to 1,316.37 equivalent shares.

As of 2025-07-30, we hold an options position equivalent to 1,316.37 shares using call options (leveraged exposure). The net liquidation value of $443,391.31 accounts for all time decay costs.