XLF 50/200 moving-average trend

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

Time-series trend following: holding XLF 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	3.86%	3.87%
Volatility	29.19%	29.19%
Sharpe	0.28	0.28
Max drawdown	-83.75%	-83.75%
Turnover (per year)	0.02

Deflated Sharpe: 0.14 (n trials: 107) — the probability the Sharpe ratio is real after the number of variants tried.

Run id aa6bfb27d0aff426 · 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": [
    "XLF"
  ]
}

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/xlf-50-200-moving-average-trend-10666a/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 xlf-50-200-moving-average-trend-10666a 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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