Strategy Report Card — EMA 20/50 Cross (AAPL)

VERDICT: DEPLOYABLE (small size)

Start at <=25% of your per-strategy risk budget; scale up only after live confirms the backtest.

A classic dual-EMA crossover strategy using a 20-period fast EMA and a 50-period slow EMA on the close. It goes long when the fast EMA crosses above the slow EMA and goes short when the fast EMA crosses below the slow EMA. It performs best in trending market regimes.

Family ema_cross · direction long_short · params fast=20, slow=50

Metric	Original	Improved +trend_strength+vol_target ★
OOS Sharpe	0.525	0.675
Stress Sharpe (3x cost)	0.501	0.624
Ann return	16.1%	9.0%
Max drawdown	-33.9%	-22.4%
Ann turnover	7.5	6.6
PSR (P[Sharpe>0])	0.914	0.960
Bootstrap p(mean<=0)	0.058	0.029

Recommended: improved — OOS Sharpe 0.675, PSR 0.960, bootstrap p 0.029.

Breadth — does the same edge hold elsewhere?

BROAD — edge holds across many assets and timeframes (low overfit risk)

Across assets: 6/8 positive (6/8 under stress), median Sharpe 0.214

Asset	Sharpe	Stress
SPY	0.14	0.10
QQQ	0.70	0.63
IWM	-0.13	-0.17
EEM	0.17	0.13
EWZ	-0.05	-0.08
GLD	0.26	0.19
AAPL	0.67	0.62
MSFT	0.44	0.36

Timeframe	Sharpe	Stress
D	0.67	0.62
W	0.47	0.46
M	0.95	0.94

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Out-of-sample, net of cost. PSR / bootstrap / stress-test robustness is what a TradingView backtest cannot show. Not investment advice.