Uses the sign of the standard 12/26 MACD line as a leveraged trend regime filter.
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
How the strategy works
MACD measures the spread between a faster and slower exponential average. A positive spread identifies short-term upward trend; this version applies 2× exposure until that spread turns negative.
Concrete example
If the prior EMA(12) is 605 and EMA(26) is 600, the strategy is risk-on today. If the fast EMA falls below the slow EMA, the next session is held in cash.
Published research
Ülkü & Prodan — Drivers of Technical Trend-Following Profitability
Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.
Exact algorithm
- Calculate 12-session and 26-session exponential moving averages.
- A positive MACD line means EMA(12) is above EMA(26).
- Use yesterday's signal for 2× daily SPY exposure; otherwise hold cash.
- Deduct 5% annual financing and exposure-change costs.
Required data: adjusted_ohlcv
Where it may work—and where it can fail
Main risks
- Frequent whipsaws
- EMA signals remain lagging indicators
- Two-times exposure increases path dependency
- Recent benchmark outperformance is small relative to model risk
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| No forward-paper transactions yet. The ledger began at deployment and never imports historical P&L. | ||||||||
Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.
Archived paper versions
Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:50.099637+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
Leverage reality check
The headline Buy & Hold card is the familiar 1x adjusted-price reference. A 4x strategy must also beat this 4x daily-reset reference before leverage-adjusted outperformance can be claimed. Neither comparison is frozen qualification evidence.
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.
Historical equity curve
Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.
Backtest specification
MACD is a short-horizon trend rule and can whipsaw heavily; recent outperformance over ordinary SPY is leverage-dependent.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 34 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-09-21 00:00:00+00:00 | LONG | 773.50 | 2026-09-30 00:00:00+00:00 | 766.79 | MISS | -1.959% |
| 2026-08-03 00:00:00+00:00 | LONG | 755.79 | 2026-09-16 00:00:00+00:00 | 752.18 | MISS | -1.827% |
| 2026-04-13 00:00:00+00:00 | LONG | 682.64 | 2026-07-28 00:00:00+00:00 | 739.02 | HIT | +14.811% |
| 2026-02-26 00:00:00+00:00 | LONG | 683.96 | 2026-02-27 00:00:00+00:00 | 680.67 | MISS | -1.140% |
| 2025-11-28 00:00:00+00:00 | LONG | 676.10 | 2026-02-13 00:00:00+00:00 | 676.47 | MISS | -1.312% |
| 2025-05-02 00:00:00+00:00 | LONG | 557.51 | 2025-11-19 00:00:00+00:00 | 655.56 | HIT | +33.325% |
| 2025-01-22 00:00:00+00:00 | LONG | 594.76 | 2025-02-27 00:00:00+00:00 | 573.78 | MISS | -7.682% |
| 2024-08-19 00:00:00+00:00 | LONG | 545.31 | 2024-12-31 00:00:00+00:00 | 574.79 | HIT | +8.285% |
| 2024-05-07 00:00:00+00:00 | LONG | 502.31 | 2024-08-01 00:00:00+00:00 | 529.14 | HIT | +9.212% |
| 2023-11-08 00:00:00+00:00 | LONG | 421.68 | 2024-04-16 00:00:00+00:00 | 489.09 | HIT | +30.816% |
| 2023-08-31 00:00:00+00:00 | LONG | 432.79 | 2023-09-20 00:00:00+00:00 | 423.03 | MISS | -4.914% |
| 2023-03-30 00:00:00+00:00 | LONG | 386.52 | 2023-08-16 00:00:00+00:00 | 422.50 | HIT | +16.536% |
| 2023-01-12 00:00:00+00:00 | LONG | 378.63 | 2023-02-28 00:00:00+00:00 | 377.96 | MISS | -1.428% |
| 2022-10-28 00:00:00+00:00 | LONG | 369.36 | 2022-12-19 00:00:00+00:00 | 362.47 | MISS | -5.275% |
| 2022-07-21 00:00:00+00:00 | LONG | 377.08 | 2022-08-31 00:00:00+00:00 | 373.67 | MISS | -2.977% |
| 2022-03-22 00:00:00+00:00 | LONG | 423.29 | 2022-04-21 00:00:00+00:00 | 412.44 | MISS | -5.842% |
| 2021-12-07 00:00:00+00:00 | LONG | 437.98 | 2022-01-18 00:00:00+00:00 | 428.46 | MISS | -5.233% |
| 2021-10-18 00:00:00+00:00 | LONG | 418.26 | 2021-12-03 00:00:00+00:00 | 424.08 | HIT | +1.772% |
| 2021-03-09 00:00:00+00:00 | LONG | 358.61 | 2021-09-20 00:00:00+00:00 | 405.96 | HIT | +23.829% |
| 2020-11-05 00:00:00+00:00 | LONG | 323.03 | 2021-03-08 00:00:00+00:00 | 353.57 | HIT | +16.917% |
| 2020-10-07 00:00:00+00:00 | LONG | 314.29 | 2020-10-29 00:00:00+00:00 | 304.34 | MISS | -6.920% |
| 2020-04-16 00:00:00+00:00 | LONG | 255.27 | 2020-09-21 00:00:00+00:00 | 301.57 | HIT | +33.618% |
| 2019-10-15 00:00:00+00:00 | LONG | 270.43 | 2020-02-26 00:00:00+00:00 | 283.24 | HIT | +7.034% |
| 2019-09-05 00:00:00+00:00 | LONG | 268.23 | 2019-10-03 00:00:00+00:00 | 262.78 | MISS | -4.644% |
| 2019-06-12 00:00:00+00:00 | LONG | 258.48 | 2019-08-05 00:00:00+00:00 | 255.62 | MISS | -3.276% |
| 2019-01-17 00:00:00+00:00 | LONG | 234.66 | 2019-05-14 00:00:00+00:00 | 254.01 | HIT | +14.705% |
| 2018-07-06 00:00:00+00:00 | LONG | 243.25 | 2018-10-10 00:00:00+00:00 | 246.90 | HIT | +1.271% |
| 2018-05-09 00:00:00+00:00 | LONG | 236.95 | 2018-06-29 00:00:00+00:00 | 239.59 | HIT | +1.231% |
| 2018-04-19 00:00:00+00:00 | LONG | 236.42 | 2018-04-24 00:00:00+00:00 | 231.22 | MISS | -4.590% |
| 2018-03-09 00:00:00+00:00 | LONG | 244.21 | 2018-03-22 00:00:00+00:00 | 231.83 | MISS | -10.292% |
| 2018-02-27 00:00:00+00:00 | LONG | 240.33 | 2018-02-28 00:00:00+00:00 | 237.89 | MISS | -2.206% |
| 2017-08-31 00:00:00+00:00 | LONG | 214.57 | 2018-02-08 00:00:00+00:00 | 225.61 | HIT | +7.355% |
| 2017-04-24 00:00:00+00:00 | LONG | 204.62 | 2017-08-18 00:00:00+00:00 | 210.42 | HIT | +3.692% |
| 2016-11-11 00:00:00+00:00 | LONG | 184.82 | 2017-04-13 00:00:00+00:00 | 200.60 | HIT | +15.013% |