XLE 50/200 moving-average trend

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

Time-series trend following: holding XLE 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	4.57%	4.58%
Volatility	29.96%	29.96%
Sharpe	0.30	0.30
Max drawdown	-76.74%	-76.74%
Turnover (per year)	0.02

Deflated Sharpe: 0.17 (n trials: 105) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 06bc0ef4dcd37fa9 · snapshot v2026-10-12

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": [
    "XLE"
  ]
}

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/xle-50-200-moving-average-trend-cac4dc/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 xle-50-200-moving-average-trend-cac4dc 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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