Dual Moving Average
A dual moving average system with a risk-off filter to avoid flat markets.
At a glance
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 8 of 10 markets.
- Best market by Sharpe ratio: GLD (Sharpe 0.76, CAGR 12.1%).
- Weakest market: EURUSD=X (Sharpe -0.21, CAGR -1.1%).
- Few or no trades in the window on SPY — treat those rows as a sign the rules rarely triggered, not as an edge.
Equity curve
Score and risk profile
Each bar is a percentile against every strategy on the same market and window (100 = best).
How it held up in sell-offs (SPY)
| Period | Strategy | Buy & hold |
|---|---|---|
| Q4 2018 sell-off | -9.0% | -19.2% |
| COVID crash (Feb–Mar 2020) | -33.7% | -33.7% |
| 2022 bear market | -8.8% | -24.5% |
| Market above its 200-day average (annualized) · 81% | +11.8% | +12.5% |
| Market below its 200-day average (annualized) · 19% | -1.5% | +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.
Results by market (5 years)
| Market | CAGR | Buy & hold CAGR | Sharpe | Max drawdown | Buy & hold max DD | Volatility | Arena Score |
|---|---|---|---|---|---|---|---|
| GLDSPDR Gold Shares | 12.1% | 16.4% | 0.76 | -26.2% | -28.3% | 17.0% | 53 |
| SPYSPDR S&P 500 | 9.3% | 11.6% | 0.71 | -18.8% | -24.5% | 13.7% | 78 |
| DBAInvesco DB Agriculture | 7.1% | 8.8% | 0.61 | -15.9% | -15.9% | 13.0% | 70 |
| SLViShares Silver Trust | 12.6% | 15.2% | 0.53 | -51.0% | -57.8% | 33.2% | 58 |
| DBCInvesco DB Commodity Index | 7.8% | 10.8% | 0.52 | -33.4% | -27.3% | 16.8% | 60 |
| USOUnited States Oil Fund | 5.6% | 20.2% | 0.31 | -54.7% | -36.2% | 32.2% | 41 |
| BTC-USDBitcoin | 3.2% | 2.6% | 0.20 | -42.9% | -75.9% | 29.1% | 40 |
| UNGUnited States Natural Gas | -4.0% | -30.7% | 0.06 | -49.7% | -93.3% | 35.4% | 69 |
| ETH-USDEthereum | -13.6% | -15.1% | -0.12 | -61.6% | -79.0% | 35.1% | 16 |
| EURUSD=XEUR/USD | -1.1% | -0.7% | -0.21 | -14.8% | -17.2% | 4.7% | 35 |
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
Rules
Entry
Go long when SMA(50) > SMA(200)
Exit
Exit when SMA(50) < SMA(200)
Indicators
SMA(50) SMA(200) ATR(14)
Inputs
FastMA = 50 SlowMA = 200 Risk = 1%
Position sizing
Position = Risk / ATR
Risk controls
Hold cash when volatility spikes
Strategy evidence
- BTC-USD · Inspect evidence 2026-11-10
- DBA · Inspect evidence 2026-11-10
- DBC · Inspect evidence 2026-11-10
- ETH-USD · Inspect evidence 2026-11-10
- EURUSD=X · Inspect evidence 2026-11-10
- GLD · Inspect evidence 2026-11-10
- SLV · Inspect evidence 2026-11-10
- SPY · Inspect evidence 2026-11-10
- UNG · Inspect evidence 2026-11-10
- USO · Inspect evidence 2026-11-10
Only available, validated bundles appear below. Missing evidence is not a passing validation result.
Evidence coverage
10 / 10 declared strategy–market pairs validated
Notes
- Best in long trends
- Late exits in sharp reversals
Related strategies
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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.