Strategy Report Card — Golden Cross (SMA 50/200) (SPY)

VERDICT: DEPLOYABLE (small size)

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

Classic Golden Cross / Death Cross strategy using a 50-period and 200-period Simple Moving Average. It goes long when the 50 SMA crosses above the 200 SMA and goes short when it crosses below. Best suited to trending markets with sustained directional moves.

Family sma_cross · direction long_short · params fast=50, slow=200

Metric	Original	Improved +low_vol+vol_target ★
OOS Sharpe	0.329	0.612
Stress Sharpe (3x cost)	0.320	0.497
Ann return	6.1%	7.7%
Max drawdown	-40.2%	-18.6%
Ann turnover	1.6	14.4
PSR (P[Sharpe>0])	0.803	0.941
Bootstrap p(mean<=0)	0.155	0.035

Recommended: improved — OOS Sharpe 0.612, PSR 0.941, bootstrap p 0.035.

Breadth — does the same edge hold elsewhere?

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

Across assets: 5/8 positive (5/8 under stress), median Sharpe 0.352

Asset	Sharpe	Stress
SPY	0.61	0.50
QQQ	0.92	0.83
IWM	-0.68	-0.69
EEM	-0.15	-0.27
EWZ	-0.46	-0.55
GLD	0.33	0.18
AAPL	0.37	0.36
MSFT	0.85	0.84

Timeframe	Sharpe	Stress
D	0.61	0.50
W	0.44	0.43
M	0.00	0.00

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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.