Does your trading strategy actually work?

We stress-tested 13 popular strategies out-of-sample. Only 6 survived. See which — and why the rest failed.

Out-of-sample onlyScored on held-out data the strategy was never tuned on. Net of realistic costs3× cost stress test on top of bid-ask + commission. Overfitting checksPSR, deflated Sharpe, block-bootstrap, parameter-perturbation. Full methodology →
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DEPLOYABLESharpe +0.68
MACD 12/26/9
QQQ · macd · breadth: BROAD
DEPLOYABLESharpe +0.67
EMA 20/50 Cross
AAPL · ema_cross · breadth: BROAD
DEPLOYABLESharpe +0.61
Golden Cross (SMA 50/200)
SPY · sma_cross · breadth: BROAD
DEPLOYABLESharpe +0.57
RSI 14 Mean Reversion
QQQ · rsi_reversion · breadth: MIXED
DEPLOYABLESharpe +0.52
Bollinger Band Reversion
SPY · bollinger · breadth: BROAD
DEPLOYABLESharpe +0.49
EMA 9/21 Crossover
SPY · ema_cross · breadth: BROAD
BORDERLINESharpe +0.33
MACD 12/26/9
SPY · macd · breadth: BROAD
BORDERLINESharpe +0.26
RSI-2 (Connors-style)
SPY · rsi_reversion · breadth: MIXED
BORDERLINESharpe +0.21
RSI 14 Mean Reversion
SPY · rsi_reversion · breadth: MIXED
BORDERLINESharpe +0.17
Bollinger Band Reversion
EEM · bollinger · breadth: BROAD
REJECTSharpe +0.06
Turtle 55 Breakout
EEM · donchian_breakout · breadth: MIXED
REJECTSharpe -0.05
Donchian 20 Breakout
GLD · donchian_breakout · breadth: BROAD
REJECTSharpe -0.14
Bollinger 20/2.5 Reversion
QQQ · bollinger · breadth: MIXED

Each verdict is out-of-sample and net of cost, with PSR / bootstrap / stress tests and cross-asset breadth. Not investment advice. How we test → · Why most backtests lie →

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