COMBO-02 · Momentum

MACD + RSI Filter

Combines MACD momentum signal with RSI filter. Only takes MACD buy signals when RSI is not overbought, and MACD sell signals when RSI is not oversold. Double confirmation reduces false signals.

TechnicalComboMomentum

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At a glance

Best onTrending markets with pullbacks

Signal frequencyDaily

Typical holding periodDays to weeks

Asset classesIndex, Commodity, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 3 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 9 of 10 markets.
Best market by Sharpe ratio: DBC (Sharpe 0.62, CAGR 5.3%).
Weakest market: USO (Sharpe -0.23, CAGR -5.8%).

Equity curve

MACD + RSI Filter Buy & hold · SPY, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 64.3SPY, 5 years

Return quality · 30%47

Drawdown control · 25%74

Consistency · 20%59

Robustness · 15%74

Significance · 10%87

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market34%

Ulcer index3.2%

Longest drawdown276 days

Daily VaR (95%)-0.84%

Probability Sharpe > 087%

Beta vs buy & hold0.30

Alpha (annual)+1.1%

Positive months40%

CAGR after 10 bp costs2.7%

Deflated Sharpe (luck-adjusted)36%

CAGR, 90% bootstrap range-2.1% to 12.4%

Max drawdown, 90% bootstrap range-27.7% to -9.3%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-7.3%	-19.2%
COVID crash (Feb–Mar 2020)	-1.4%	-33.7%
2022 bear market	-3.7%	-24.5%
Market above its 200-day average (annualized) · 81%	+4.3%	+12.5%
Market below its 200-day average (annualized) · 19%	+14.8%	+19.8%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Out-of-sample check (SPY)

Check	Value
Chosen parameters on their 3-year training windows (average Sharpe)	0.94
Same parameters in the following 6 months, when traded (Sharpe)	0.80
Default parameters over the same months (Sharpe)	0.83
Parameter re-selections / changes	28 / 19
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.50 / 0.72 / 0.77

Out-of-sample periods start on 2013-01-04. Training-window figures are flattered by picking the best of 9 settings; the out-of-sample figure is what the strategy actually earned. A large drop, or a result that depends on one setting, points to overfitting. How walk-forward testing works.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
DBCInvesco DB Commodity Index	5.3%	10.8%	0.62	-17.0%	-27.3%	9.1%	79
DBAInvesco DB Agriculture	4.2%	8.8%	0.59	-14.4%	-15.9%	7.4%	64
GLDSPDR Gold Shares	4.5%	16.4%	0.53	-12.5%	-28.3%	9.6%	50
SPYSPDR S&P 500	4.4%	11.6%	0.51	-12.3%	-24.5%	9.4%	64
SLViShares Silver Trust	4.8%	15.2%	0.39	-28.1%	-57.8%	16.3%	54
ETH-USDEthereum	-1.6%	-15.1%	0.12	-49.8%	-79.0%	33.3%	60
BTC-USDBitcoin	0.1%	2.6%	0.10	-42.2%	-75.9%	22.6%	45
EURUSD=XEUR/USD	0.3%	-0.7%	0.08	-11.3%	-17.2%	4.8%	64
UNGUnited States Natural Gas	-11.1%	-30.7%	-0.12	-75.6%	-93.3%	38.3%	61
USOUnited States Oil Fund	-5.8%	20.2%	-0.23	-53.1%	-36.2%	18.8%	25

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

SPY across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+2.7%	2.7%	0.51	0.59	-4.5%	14%	22
3 years	+11.8%	3.8%	0.65	0.41	-12.3%	15%	53
5 years	+24.2%	4.4%	0.51	0.43	-12.3%	18%	86
Full history	+174.8%	6.2%	0.72	0.58	-14.9%	20%	274

Rules

Entry

MACD crosses above signal
AND RSI < 70 (not overbought)

Exit

MACD crosses below signal
OR RSI > 80 (extreme overbought)

Indicators

MACD line and signal line
MACD histogram
RSI

Inputs

MACD_Fast = 12
MACD_Slow = 26
MACD_Signal = 9
RSI_Period = 14
RSI_OB = 70
RSI_OS = 30

Position sizing

Full position on confirmed signals

Risk controls

RSI filter prevents buying tops

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

MACD for trend direction
RSI for overbought/oversold filter
Reduces whipsaws in choppy markets

Related strategies

MOM-03 · SPY 5Y Sharpe 0.6152-Week High Momentum COMBO-01 · SPY 5Y Sharpe 0.03Bollinger-Keltner Squeeze CS-01 · CS-UNIV 5Y Sharpe 0.76Cross-Sectional Momentum HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover MOM-01 · EURUSD=X 5Y Sharpe 0.19Time-Series Momentum MOM-02 · DUAL-MOM 5Y Sharpe 0.47Dual Momentum

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.