macd trend backtest

What the numbers mean

The win rate here sits near a coin flip, and that is not the interesting part. The only exit is the reverse crossover — there is no stop, no profit target, and no holding-period limit — so a position that turns out wrong is closed once the 12-day average slips back under the 26-day, usually soon after a false start and for a modest loss, while a position that keeps working has nothing to close it. Compare the profit factor tile against the win rate tile: that gap is the mechanism.

The 12/26 exponential pair on daily bars turns faster than the classic 50/200 pair, which puts the strategy into real trends earlier and also into a lot of moves that immediately fail. Expect stretches where the curve goes sideways while small round trips accumulate. Because nothing caps the downside inside a trade, the lag of the two averages is the only protection: in a sharp decline the cross-down arrives well after the high, so the worst open loss on a single name can be far deeper than the closed loss on the trade list suggests. The drawdown chart is where that shows up.

Then there is the universe. Five symbols, at a fifth of capital each: two broad index funds and three megacap tech names that those same funds hold in size. When all five are long, this is closer to one trade than five. Check whether the big steps in the equity curve trace back to a single ticker.