Filtered 50/200 EMA Crossover Strategy for SPY

Summary

This long-only strategy uses a 50-period and 200-period EMA crossover on daily SPY data. It permits entries for a configurable number of bars after a bullish crossover, provided the fast EMA remains above the slow EMA and the separation and slow-EMA slope filters pass. Position size is based on current strategy equity multiplied by a leverage setting. A hard stop is calculated as a percentage below the average entry price, while a bearish crossover closes the position.

The accompanying post claims annualized returns above 20% over a long historical span and 25% over the most recent 30 years, alongside a 65% maximum drawdown for that 30-year period at the stated leverage. These are claims in the source, not independently documented test results; the excerpt gives no detailed report, transaction assumptions, or robustness analysis. The large drawdown and leverage sensitivity are material limitations, and the published title's higher return figure is not substantiated by the accompanying text.

Key ideas

• Entries require a recent bullish 50/200 EMA crossover plus separation and slow-trend filters.
• The system holds long positions and exits on a bearish crossover or a percentage stop.
• Position size scales with strategy equity and the configured leverage.
• The post reports high historical returns alongside a substantial maximum drawdown, without detailed supporting test assumptions.
• Results may depend heavily on leverage and require independent verification.

Tags

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