D
Trading Autopsy
Golden Cross (SMA 50/200) · SPY · 1d bars
· 2010-01-01 → 2026-07-06 · report generated 2026-07-06
Verdict: The weight of evidence is against this strategy.
- Profitable in all 4 time segments — consistent across regimes.
- Survives a 2x cost stress test.
- Only 7 trades in the whole test — far too few to trust any statistic here. Everything below is weak evidence at best.
- Almost no out-of-sample trades — the strategy may have simply stopped triggering.
- Max drawdown -32.3% is account-destroying in practice.
- Buy & hold returned 780.6% over the same period vs the strategy's 279.4% — all this effort underperformed doing nothing.
The strategy as tested
Direction: long. Entry when ALL of:
cross_above(sma(50), sma(200))
Exit: signal: cross_below(sma(50), sma(200)).
Costs modeled: 0.05% fee per side + 5 bps adverse slippage.
Fills occur at the next bar's open after each signal — no same-bar fantasy fills.
When a stop and target are both touched in one bar, the stop is assumed to hit first (pessimistic).
Headline results (full period)
| Total return | +279.4% |
| CAGR | +8.4% |
| Buy & hold same period | +780.6% |
| Max drawdown | -32.3% |
| Sharpe ratio | 0.69 |
| Sortino ratio | 0.71 |
| Trades | 7 (0/yr) |
| Win rate | 71.4% |
| Profit factor | 10.68 |
| Avg trade | +24.28% |
| Avg holding time | 641.7 days |
| Total fees & slippage paid | $139 |
Monthly returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|
| 2010 | | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% |
|---|
| 2011 | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% |
|---|
| 2012 | +0.3% | +4.1% | +3.1% | -0.6% | -5.7% | +3.9% | +1.1% | +2.4% | +2.4% | -1.7% | +0.5% | +0.9% |
|---|
| 2013 | +4.9% | +1.2% | +3.6% | +1.8% | +2.3% | -1.3% | +5.0% | -2.9% | +3.0% | +4.5% | +2.9% | +2.5% |
|---|
| 2014 | -3.4% | +4.4% | +0.8% | +0.7% | +2.2% | +2.0% | -1.3% | +3.8% | -1.3% | +2.3% | +2.7% | -0.2% |
|---|
| 2015 | -2.9% | +5.4% | -1.5% | +1.0% | +1.2% | -2.0% | +2.2% | -5.9% | -2.5% | +0.0% | +0.0% | -0.3% |
|---|
| 2016 | -6.6% | +0.0% | +0.0% | -1.8% | +1.6% | +0.3% | +3.5% | +0.1% | +0.0% | -1.7% | +3.5% | +1.9% |
|---|
| 2017 | +1.7% | +3.8% | +0.1% | +0.9% | +1.4% | +0.6% | +2.0% | +0.3% | +1.9% | +2.3% | +2.9% | +1.2% |
|---|
| 2018 | +5.4% | -3.5% | -2.6% | +0.5% | +2.3% | +0.6% | +3.6% | +3.1% | +0.6% | -6.7% | +1.8% | -3.3% |
|---|
| 2019 | +0.0% | +0.0% | +0.4% | +3.9% | -6.1% | +6.6% | +1.4% | -1.6% | +1.9% | +2.1% | +3.5% | +2.8% |
|---|
| 2020 | -0.0% | -7.6% | -11.9% | -3.7% | +0.0% | +0.0% | +3.3% | +6.6% | -3.6% | -2.4% | +10.4% | +3.5% |
|---|
| 2021 | -1.0% | +2.7% | +4.4% | +5.1% | +0.6% | +2.2% | +2.4% | +2.9% | -4.5% | +6.8% | -0.8% | +4.5% |
|---|
| 2022 | -5.1% | -2.8% | -0.8% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% | +0.0% |
|---|
| 2023 | +0.6% | -2.4% | +3.5% | +1.5% | +0.4% | +6.2% | +3.1% | -1.6% | -4.5% | -2.1% | +8.7% | +4.4% |
|---|
| 2024 | +1.5% | +5.0% | +3.1% | -3.9% | +4.9% | +3.4% | +1.2% | +2.3% | +2.0% | -0.9% | +5.8% | -2.3% |
|---|
| 2025 | +2.6% | -1.2% | -5.4% | -5.6% | +0.0% | -0.0% | +2.2% | +2.0% | +3.4% | +2.3% | +0.2% | +0.1% |
|---|
| 2026 | +1.4% | -0.8% | -4.7% | +10.0% | +5.0% | -1.0% | -0.4% | | | | | |
|---|
Out-of-sample test
The strategy was evaluated on data after 2021-07-19 that plays no role in the
in-sample window. Overfit strategies collapse here.
| In-sample | Out-of-sample |
|---|
| Total return | +130.7% | +60.3% |
| Sharpe | 0.63 | 0.88 |
| Max drawdown | -32.3% | -18.1% |
| Win rate | 60.0% | 100.0% |
| Trades | 5 | 2 |
Consistency across time
| Period | Return | Max DD | Trades |
|---|
| 2010-01-04 – 2014-02-18 | +44.3% | -9.2% | 1 |
| 2014-02-18 – 2018-04-02 | +17.3% | -12.1% | 2 |
| 2018-04-02 – 2022-05-12 | +24.8% | -32.3% | 2 |
| 2022-05-12 – 2026-07-02 | +60.3% | -18.1% | 2 |
Monte Carlo drawdown analysis
1,000 reshuffles of the realized trade sequence — how bad could the drawdown have been
with the exact same trades in a different order?
| Monte Carlo skipped: only 7 trades — too few for Monte Carlo |
Cost sensitivity
| Zero costs | As modeled | 2× costs |
|---|
| Total return | +284.3% |
+279.4% | +274.5% |
This report is independent historical research provided for educational purposes only. It is not financial advice, not a recommendation to buy or sell any security, and not a prediction of future results. Backtested performance has inherent limitations: it is hypothetical, does not reflect actual capital at risk, and past performance does not guarantee future results. Trading involves substantial risk of loss.