Does the Aroon strategy beat buy & hold on S&P 500 ETF (SPY)? (SPY · backtested honestly)
Aroon reads how recently the highest high and the lowest low occurred over a lookback window — Aroon Up sits near 100 just after a fresh high and decays as that high ages, and Aroon Down does the same for fresh lows.
Over this period, Aroon on S&P 500 ETF (SPY) returned +52.3%, while simply buying and holding returned +87.7% — it lagged buy & hold by 35.4 points, with a worst drawdown of -16.2%. It traded 17 times and sat in cash about 39% of the time. It's a mechanism you test — not a recommendation.
That's the past — settled, free, and the weakest proof there is. The honest next move isn't to trust it — it's to try to break it: does the edge hold across nearby settings and time, or was it luck? Most strategies that look good here don't survive that, and most should stop there. The few that do still haven't met a future nobody has lived yet. Forward-test Aroon on S&P 500 ETF (SPY) on paper — zero hindsight, losses and all — and get a mechanical alert the day it signals (you trade on your own broker). A hindsight-free track record can only be built by time passing, so the only way to have proof in three months is to start today.
Or stop here — a backtest you can kill for free has already done its job. And if it keeps surviving, that's the rare idea worth trusting with real money.
Run it yourself
Change the parameters and the window, then re-run — no account needed.
Two real trades from this backtest
Shown at the modeled fills — entries at the next open, protective stops and targets at their level; costs on. A single trade is never a signal and says nothing about the next one — not the best or worst, a middling winner and a middling loser among the completed trades.
17 trades total — 10 winners, 7 losers (59% won). Below is one of each, not a scoreboard.
- Entry. A long entry fired; filled at the next open on 2025-01-23 at $605.80 — never the signal bar's own close.
- Held. 23 daily bars.
- Exit. Exited on 2025-02-26 at $595.93 (the exit rule fired (filled at the next open)).
- Result. -1.73% after costs.
The worst single trade in this whole test reached -6.83%.
- Entry. A long entry fired; filled at the next open on 2024-05-13 at $522.56 — never the signal bar's own close.
- Held. 50 daily bars.
- Exit. Exited on 2024-07-25 at $541.35 (the exit rule fired (filled at the next open)).
- Result. +3.50% after costs.
Trading costs + slippage (0.10%) are already deducted from every figure above. One trade is never the edge — it's the whole distribution (the win rate, the losers, the reality-check) that matters; this just makes the mechanics concrete. It describes the past; it is not a prediction.
A live badge that re-runs itself and links back here. Free to embed on any blog, newsletter or forum — it shows the honest result, beat or lagged.
<iframe src="https://stratsemble.com/embed/sp500-etf-aroon-backtest" width="360" height="252" style="border:0;border-radius:12px;max-width:100%" loading="lazy" title="Does the Aroon strategy beat buy & hold on S&P 500 ETF (SPY)?"></iframe>- • The strategy line is Aroon on S&P 500 ETF (SPY); the dashed line is simply buying and holding SPY. Beating the dashed line is the whole point — many strategies don't.
- • Max drawdown is the worst peak-to-trough fall you'd have sat through. A higher return with a much deeper drawdown is not obviously better.
- • Every fill assumes next-open execution with costs & slippage on — no acting on prices you couldn't have known.
- • A small number of trades means a small sample. Treat a great-looking result on a handful of trades with suspicion.
This is a hypothetical backtest of a well-known mechanism on past data. It is not advice, not a prediction, and not a claim that the strategy works. I hold no funds and place no orders. The value here is the ability to test an idea honestly — see where it would have helped, and where it would have hurt — before you ever risk real money on your own broker.
How this is computed → · who's behind it · where a backtest fits
See what actually beats buy & hold — most don't, here are the rare few that do →