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

VERDICT: BORDERLINE — paper trade first

No real capital yet. Forward-test on a demo/stress account until live Sharpe holds for 60+ days.

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 +ma200+vol_target ★
OOS Sharpe	0.049	0.335
Stress Sharpe (3x cost)	-0.178	0.005
Ann return	1.0%	3.3%
Max drawdown	-37.3%	-13.1%
Ann turnover	44.4	32.9
PSR (P[Sharpe>0])	0.551	0.807
Bootstrap p(mean<=0)	0.484	0.162

Recommended: improved — OOS Sharpe 0.335, PSR 0.807, bootstrap p 0.162.

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	0.33	0.00
W	0.28	0.25
M	0.04	0.02

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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. Full methodology → · Why most backtests lie →