Strategy Report Card — EMA 9/21 Crossover (SPY)

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 that trades on any instrument using close prices. It goes long when the 9-period EMA crosses above the 21-period EMA, and goes short when it crosses below. Designed for trending market regimes; it is always in the market (long or short).

Family ema_cross · direction long_short · params fast=9, slow=21

Translation warnings

Strategy is always in the market (long or short); there is no flat/neutral position.

Metric	Original	Improved +ma200+vol_target ★
OOS Sharpe	0.271	0.491
Stress Sharpe (3x cost)	0.190	0.358
Ann return	5.3%	6.6%
Max drawdown	-23.2%	-18.7%
Ann turnover	15.8	18.0
PSR (P[Sharpe>0])	0.760	0.896
Bootstrap p(mean<=0)	0.205	0.075

Recommended: improved — OOS Sharpe 0.491, PSR 0.896, bootstrap p 0.075.

Breadth — does the same edge hold elsewhere?

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

Across assets: 7/8 positive (5/8 under stress), median Sharpe 0.335

Asset	Sharpe	Stress
SPY	0.49	0.36
QQQ	0.77	0.68
IWM	0.06	-0.03
EEM	-0.19	-0.31
EWZ	0.18	0.12
GLD	0.03	-0.18
AAPL	0.86	0.80
MSFT	0.59	0.50

Timeframe	Sharpe	Stress
D	0.49	0.36
W	0.40	0.38
M	0.88	0.88

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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.