EEM 20/100 moving-average trend

by finzdata-research · published 2026-10-13 · ma_cross · custom · 0 forks · 1 views

Time-series trend following: holding EEM only while its 20-day average is above its 100-day average should cut drawdowns in bear markets at a small cost in bull markets. Falsified if drawdowns are not smaller than buy-and-hold or the Sharpe ratio is lower.

Forward tracking started 2026-10-13. Results appear after 21 trading days.

Backtest

Metric	Strategy	Benchmark
CAGR	4.39%	4.40%
Volatility	27.64%	27.64%
Sharpe	0.29	0.29
Max drawdown	-67.23%	-67.23%
Turnover (per year)	0.02

Deflated Sharpe: 0.22 (n trials: 98) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 2ff69bdbb128f86e · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "W",
  "side": "long",
  "signal": {
    "fast": 20,
    "slow": 100,
    "type": "ma_cross"
  },
  "start": "2005-01-01",
  "top_n": 1,
  "universe": [
    "EEM"
  ]
}

Fork this strategy

Re-run it with your own changes. The fork is computed on the server and linked back here.

curl -X POST https://api.finzdata.com/v1/hub/s/eem-20-100-moving-average-trend-5000af/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):

Fork the FinzData strategy eem-20-100-moving-average-trend-5000af and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

Community

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