TLT 50/200 moving-average trend
Time-series trend following: holding TLT only while its 50-day average is above its 200-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 | -0.09% | -0.09% |
| Volatility | 14.70% | 14.70% |
| Sharpe | 0.07 | 0.07 |
| Max drawdown | -51.76% | -51.76% |
| Turnover (per year) | 0.02 |
Deflated Sharpe: 0.03 (n trials: 99) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "W",
"side": "long",
"signal": {
"fast": 50,
"slow": 200,
"type": "ma_cross"
},
"start": "2005-01-01",
"top_n": 1,
"universe": [
"TLT"
]
}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/tlt-50-200-moving-average-trend-a66590/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 tlt-50-200-moving-average-trend-a66590 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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