EVENT-01 · Trend Following

Trend + Macro Filter

Dual moving average trend with trading disabled near macro events.

TrendMacro

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At a glance

Best onSPY 3Y Sharpe Top5

Signal frequencyDaily

Typical holding periodWeeks

Asset classesIndex

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 5 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: SPY (Sharpe 0.89, CAGR 9.7%).
Weakest market: UNG (Sharpe -0.17, CAGR -9.4%).

Equity curve

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

Score and risk profile

Arena Score: 85.6SPY, 5 years

Return quality · 30%97

Drawdown control · 25%85

Consistency · 20%76

Robustness · 15%69

Significance · 10%98

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

Time in market66%

Ulcer index4.5%

Longest drawdown515 days

Daily VaR (95%)-1.24%

Probability Sharpe > 098%

Beta vs buy & hold0.40

Alpha (annual)+4.9%

Positive months53%

CAGR after 10 bp costs7.7%

Deflated Sharpe (luck-adjusted)70%

CAGR, 90% bootstrap range1.8% to 17.1%

Max drawdown, 90% bootstrap range-23.1% to -8.5%

How it held up in sell-offs (SPY)

Period	Strategy	Buy & hold
Q4 2018 sell-off	-9.6%	-19.2%
COVID crash (Feb–Mar 2020)	-32.3%	-33.7%
2022 bear market	-6.5%	-24.5%
Market above its 200-day average (annualized) · 81%	+9.2%	+12.5%
Market below its 200-day average (annualized) · 19%	-0.7%	+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)	0.82
Same parameters in the following 6 months, when traded (Sharpe)	0.64
Default parameters over the same months (Sharpe)	0.69
Parameter re-selections / changes	28 / 11
Parameter settings with a positive Sharpe (full history)	9 of 9
Sharpe across settings: worst / median / best	0.60 / 0.66 / 0.72

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
SPYSPDR S&P 500	9.7%	11.6%	0.89	-12.6%	-24.5%	11.0%	86
GLDSPDR Gold Shares	11.7%	16.4%	0.80	-23.6%	-28.3%	15.4%	60
SLViShares Silver Trust	16.1%	15.2%	0.65	-36.0%	-57.8%	30.2%	76
DBAInvesco DB Agriculture	5.7%	8.8%	0.53	-16.8%	-15.9%	12.1%	68
DBCInvesco DB Commodity Index	6.6%	10.8%	0.48	-21.4%	-27.3%	15.2%	64
USOUnited States Oil Fund	8.5%	20.2%	0.41	-33.2%	-36.2%	28.7%	57
BTC-USDBitcoin	9.7%	2.6%	0.36	-36.7%	-75.9%	27.0%	61
ETH-USDEthereum	-2.8%	-15.1%	0.08	-50.9%	-79.0%	31.6%	42
EURUSD=XEUR/USD	-0.3%	-0.7%	-0.03	-10.8%	-17.2%	4.4%	59
UNGUnited States Natural Gas	-9.4%	-30.7%	-0.17	-55.0%	-93.3%	31.1%	48

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	+3.0%	3.0%	0.44	0.60	-8.0%	40%	26
3 years	+48.2%	14.0%	1.29	1.58	-9.2%	44%	70
5 years	+59.0%	9.7%	0.89	1.04	-12.6%	36%	100
Full history	+224.3%	7.2%	0.62	0.61	-34.2%	38%	337

Rules

Entry

Follow TREND-05

Filter

Disable trades near FOMC / CPI

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

Event filter uses first 3 business days of each month as proxy.

Related strategies

ADX-01 · SPY 5Y Sharpe 0.43ADX Trend Filter COMBO-04 · SPY 5Y Sharpe 0.38Trend + Mean Reversion Hybrid HMA-01 · SPY 5Y Sharpe 0.06HMA Crossover KC-01 · SPY 5Y Sharpe 0.67Keltner Channel Breakout MACRO-01 · SPY 5Y Sharpe 1.04Cross-Asset Momentum MACRO-02 · SPY 5Y Sharpe 0.40Risk-On/Risk-Off Switch

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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.