A Leveraged EMA Crossover Strategy with a Hard Stop for SPY

Summary

This long-only strategy enters when a fast, smoothed exponential moving average crosses above a slower, smoothed EMA and exits on the reverse crossover. Position size is based on current equity multiplied by a configurable leverage factor; the published setting is 4×. A hard stop is placed 10% below the average entry price. The script uses 20- and 70-period EMA inputs, with an additional 100-period smoothing step, despite the title and plotted labels referring to 21- and 75-period averages.

The page claims a 20% compound annual growth rate over 85 years and reports maximum drawdown figures that differ between the post and comments: 44% and 46%. It attributes another displayed CAGR to a different start date. These are creator-reported claims, not independently verified results; no detailed test assumptions, costs, or benchmark comparison are provided. The code is presented for daily use on SPY, ES, and SPX, but the long history, leverage, and substantial drawdown warrant careful validation before practical use.

Key ideas

• The strategy buys on an upward crossover of smoothed fast and slow EMAs and exits on a downward crossover.
• Position size scales with account equity and a leverage input set to 4× in the post.
• A hard stop is set 10% below the average entry price.
• The code’s EMA inputs differ from the 21- and 75-period labels in the title and chart plots.
• The page reports long-run returns and drawdowns, but the figures are creator claims without detailed supporting test assumptions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.