Does SMA 20/50 cross actually work on SPY? We tested it

This strategy made money overall, turning a 103% gain across 21 trades, but the ride was very lumpy. The worst stretch was a brutal 29.64% drawdown that lasted from September 2021 to April 2023, which is a long and painful period to sit through. The entry timing is doing the heavy lifting here, since your real entries outperformed 86% of random entry attempts, meaning the signal itself is strong at getting you in at good moments. The edge was consistent across all four test periods, so the profit didn't come from just one lucky streak. The 61.9% win rate and average trade gain of 3.76% suggest the strategy wins more often than it loses, but that single massive drawdown shows it can get stuck in a long losing trend.