iM-DrawdownShield

The SPY–BIL model holds the SPDR S&P 500 ETF (SPY) or, when it is out of the market, an escape asset. The decision is taken each day by a fixed, published rule computed from SPY’s adjusted closing prices and volume alone. Three bull–bear values (short, medium, long term) on a scale of −10 to +10 are calculated together with their slopes, the buy–sell values. The model leaves SPY when all three slopes are sufficiently negative and returns when all three are sufficiently positive; the thresholds depend on how bullish or bearish each term currently is. Three escape assets are analysed: T-bills (BIL), the highest bull-rated Treasury ETF of SHY, IEF and TLT, and gold (GLD).

Each evening the model publishes the SPY closing price that would trigger a switch on the next day; the switch is executed at the close of the day on which that price is crossed. A text message alerts subscribers when that price lies within 2.5% of the close; a signal that arrives without such an alert is executed at the next day’s close.

How iM-DrawdownShield works Model Backtest, 1995--2026 Live Model, 1/2/2020--Now

Historical results (hypothetical)

iM-DrawdownShield holds the S&P 500 ETF (SPY) or, when its published rule signals an exit, an escape asset. Two escape choices are shown here:

Cash: 1–3 month T-bills (BIL).
Best ETF: on the exit day, the highest bull-rated of the Treasury ETFs SHY, IEF and TLT, held until the model re-enters SPY; T-bills if none of the three is rated bullish.

All figures run from February 9, 1995 to October 30, 2026. Trades are executed at the close of the day on which the switching price published the previous evening is crossed. A signal that arrives without a prior alert is executed at the next day’s close.

$10,000 in SPY, buy and hold

$271,858

$10,000 in iM-DrawdownShield, Cash

$414,338

$10,000 in iM-DrawdownShield, Best ETF

$501,339

Returns and deepest falls

	Return per year			Deepest fall
Period	SPY	Cash	Best ETF	SPY	Cash	Best ETF
3 years	23.3	20.9	21.2	−18.8	−10.0	−10.1
5 years	12.3	13.3	13.5	−24.5	−12.9	−12.9
10 years	15.3	16.2	16.5	−33.7	−13.1	−12.9
1995–2026	11.0	12.5	13.2	−55.2	−25.1	−19.0
In-sample 2002–2019	8.0	10.0	10.6	−55.2	−17.1	−17.6
Out-of-sample 1995–2001	15.2	14.9	16.0	−35.5	−19.0	−19.0
Out-of-sample 2020–2026	14.9	16.9	17.2	−33.7	−13.1	−12.9

Per cent. 60 switches in total, 1.9 per year; time in SPY 84%; median spell in SPY 124 trading days, out of SPY 33. The rule’s constants were set on 2002–2019 only; 1995–2001 and 2020–2026 were held back.

Risk-adjusted measures

	Sharpe ratio			Beta to SPY		Alpha per year
Period	SPY	Cash	Best ETF	Cash	Best ETF	Cash	Best ETF
1 year	0.60	0.60	0.60	1.00	1.00	+0.0	+0.0
3 years	1.17	1.25	1.27	0.65	0.65	+3.9	+4.2
5 years	0.55	0.73	0.74	0.59	0.59	+4.1	+4.3
10 years	0.75	1.04	1.06	0.53	0.52	+6.4	+6.8
1995–2026	0.52	0.77	0.81	0.50	0.49	+5.4	+6.1
In-sample 2002–2019	0.44	0.75	0.79	0.42	0.40	+5.6	+6.3
Out-of-sample 1995–2001	0.58	0.64	0.70	0.70	0.70	+2.4	+3.5
Out-of-sample 2020–2026	0.66	0.98	1.00	0.50	0.50	+7.3	+7.6

All measures on daily returns in excess of T-bills (BIL). Alpha in per cent per year against SPY, whose beta is 1 and alpha 0 by definition. Over the last year the model was in SPY throughout, so its figures equal SPY’s. Sortino ratio 1995–2026: SPY 0.74, Cash 1.08, Best ETF 1.14.

Major declines, SPY peak to trough

Decline	Dates	SPY	Cash	Best ETF
Asian/LTCM crisis	7/17/98 – 10/8/98	−18.2	−15.2	−14.0
Dot-com bear	3/24/00 – 10/9/02	−47.5	−13.3	−5.4
Global financial crisis	10/9/07 – 3/9/09	−55.2	−14.1	−9.2
2011 debt ceiling	4/29/11 – 10/3/11	−18.6	−11.6	−11.5
2015–16 slowdown	5/21/15 – 2/11/16	−13.0	−11.4	−7.2
Q4 2018	9/20/18 – 12/24/18	−19.3	−5.1	−4.4
COVID crash	2/19/20 – 3/23/20	−33.7	−12.2	−11.4
2022 inflation bear	1/3/22 – 10/12/22	−24.5	−7.3	−7.3
2025 tariff shock	2/19/25 – 4/8/25	−18.8	−9.8	−9.6

Total return over each SPY decline, per cent.

Calendar years

Year	SPY	Cash	Best ETF	Best ETF vs SPY
1996	22.6	22.6	22.6	0.0
1997	33.5	33.5	33.5	0.0
1998	28.7	20.6	22.7	−6.0
1999	20.4	20.4	20.4	0.0
2000	−9.7	−14.0	−12.6	−2.9
2001	−11.8	−3.4	0.0	+11.8
2002	−21.6	−2.7	0.3	+21.9
2003	28.2	23.2	23.0	−5.2
2004	10.7	10.7	10.7	0.0
2005	4.8	0.1	−0.1	−4.9
2006	15.8	11.2	11.1	−4.7
2007	5.1	0.2	0.8	−4.3
2008	−36.8	−4.3	1.4	+38.2
2009	26.4	39.1	38.3	+11.9
2010	15.1	10.0	10.9	−4.2

Year	SPY	Cash	Best ETF	Best ETF vs SPY
2011	1.9	−6.2	−8.4	−10.3
2012	16.0	16.0	16.0	0.0
2013	32.3	32.3	32.3	0.0
2014	13.5	13.5	13.5	0.0
2015	1.3	−5.2	−5.1	−6.4
2016	12.0	8.4	11.4	−0.6
2017	21.7	21.7	21.7	0.0
2018	−4.6	5.3	6.2	+10.8
2019	31.2	19.6	19.4	−11.8
2020	18.4	26.7	28.1	+9.7
2021	28.7	28.7	28.7	0.0
2022	−18.2	−6.7	−6.7	+11.5
2023	26.2	16.2	16.4	−9.8
2024	24.9	24.9	24.9	0.0
2025	17.7	17.3	18.0	+0.3

Total return, per cent. “Best ETF vs SPY”: difference in percentage points; green = Best ETF ahead of SPY, red = behind, grey = fully invested all year (equal to SPY). 1995 (from February 9) and 2026 (to October 30): always invested, SPY and both variants +30.2 and +11.7.

Full years 1996–2025	SPY	Cash	Best ETF
Losing years	6	7	5
Years worse than −10%	4	1	1
Worst year	−36.8	−14.0	−12.6
Years better than SPY	—	7	8
Years equal to SPY (always invested)	—	10	10

Returns rounded to 0.1%.

Disclosure. All performance figures are hypothetical results of applying the published rules to historical data. Escape-asset prices before each ETF’s launch are simulated. The figures do not represent actual trading and do not include costs, slippage or taxes. Past performance, actual or simulated, does not guarantee future results. iM-DrawdownShield is a mathematical model; it is not investment advice.