Strategy Report Card — MACD 12/26/9 (QQQ)

VERDICT: DEPLOYABLE (small size)

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

Classic MACD crossover strategy. Goes long when the MACD line crosses above the signal line and goes short when the MACD line crosses below the signal line. Designed for trending markets where momentum shifts are meaningful.

Family macd · direction long_short · params fast=12, slow=26, signal=9

Metric	Original	Improved +trend_strength+vol_target ★
OOS Sharpe	-0.022	0.676
Stress Sharpe (3x cost)	-0.185	0.483
Ann return	-0.5%	6.7%
Max drawdown	-38.8%	-10.8%
Ann turnover	39.6	19.1
PSR (P[Sharpe>0])	0.478	0.958
Bootstrap p(mean<=0)	0.537	0.031

Recommended: improved — OOS Sharpe 0.676, PSR 0.958, bootstrap p 0.031.

Breadth — does the same edge hold elsewhere?

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

Across assets: 7/8 positive (7/8 under stress), median Sharpe 0.298

Asset	Sharpe	Stress
SPY	0.33	0.00
QQQ	0.68	0.48
IWM	0.19	0.03
EEM	-0.13	-0.31
EWZ	0.18	0.08
GLD	0.46	0.12
AAPL	0.77	0.63
MSFT	0.26	0.11

Timeframe	Sharpe	Stress
D	0.68	0.48
W	0.31	0.29
M	0.76	0.75

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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.