Does the MACD signal line crossover work on US large caps?
Across 143 of 220 tickers between 2015-01-01 and 2024-12-31, average return was 1.18%, average max drawdown -7.75%.
A modest edge: +1.18% mean return across 143 tickers, with -7.75% average drawdown — directional, though execution costs would chew into it.
What we tested
We want to enter on classic MACD bullish crossovers, but only when the broader trend is up. Compute MACD with the standard 12 and 26 day exponential moving averages and a 9 day signal line. Enter long the next open after a day where the MACD line closes above the signal line for the first time in 10 trading days, the MACD line itself is above zero, and today's close is above the 200 day simple moving average. On entry, place a protective stop 1.2 ATR below the entry price using the 14 period ATR. Size the position so a stop-out loses exactly 1 percent of account equity. Round down to a whole number of shares. Exit at the next open the first time the MACD line closes back below the signal line. If the position has been held for 60 trading days without resolving, exit at the next open as well. Long only. One open position per ticker at a time. No leverage and no pyramiding.
- Window
- 2015-01-01 → 2024-12-31
- Universe
- 220 tickers
- Ranking metric
- return_pct
Overall results
Aggregated across 143 runsEqual-weighted mean of total return across symbols that completed. · 2 codegen refinements on pilot
Unweighted mean across successful runs.
143 completed · 77 failed
Mean of worst peak-to-trough per symbol.
Aggregate gross profit ÷ gross loss.
Summed over successful symbols.
Return distribution
How the 143 tickers split up across return_pct buckets. Reads left to right from worst to best.
- ≤ -10%9 (6.3%)
- -10% to -5%21 (14.7%)
- -5% to -1%33 (23.1%)
- −1% to +1%9 (6.3%)
- +1% to +5%28 (19.6%)
- +5% to +10%27 (18.9%)
- > +10%16 (11.2%)
By sector
Top and flop names per GICS sector, ranked by return_pct.
Communication Services
15 / 20 completed- TTWO14.96%
- CHTR14.31%
- GOOG8.78%
- DIS5.08%
- LYV3.80%
- OMC-14.34%
- TMUS-8.76%
- PINS-8.76%
- T-6.63%
- META-3.18%
Consumer Discretionary
16 / 20 completed- TSLA40.50%
- LOW20.05%
- LULU19.79%
- ORLY13.73%
- MAR8.32%
- BKNG-10.70%
- YUM-8.18%
- NKE-8.12%
- ROST-8.04%
- AZO-4.46%
Consumer Staples
13 / 20 completed- COST6.55%
- CL6.48%
- CLX4.79%
- SYY3.64%
- EL2.40%
- KO-14.79%
- GIS-13.74%
- STZ-6.06%
- KMB-3.52%
- MDLZ-0.93%
Energy
3 / 20 completed- PSX14.94%
- MPC6.16%
- VLO5.61%
Financials
11 / 20 completed- AON13.75%
- SCHW7.76%
- ICE6.38%
- JPM5.95%
- MCO5.08%
- CME-17.90%
- BK-1.19%
- TFC-1.00%
- SPGI0.35%
- BLK2.18%
Health Care
16 / 20 completed- DHR31.80%
- SYK5.68%
- ISRG4.78%
- BSX2.33%
- ABT2.30%
- TMO-15.78%
- AMGN-9.28%
- JNJ-6.73%
- MRK-4.47%
- PFE-3.42%
Industrials
10 / 20 completed- ROK7.12%
- ITW4.90%
- LMT1.38%
- FDX-0.89%
- HON-1.06%
- DE-15.61%
- GD-9.00%
- NOC-5.12%
- BA-4.42%
- UPS-1.07%
Information Technology
14 / 20 completed- AVGO22.42%
- CRM14.30%
- MSFT12.07%
- IBM9.89%
- PANW6.91%
- ORCL-7.07%
- INTU-4.06%
- LRCX-3.47%
- ACN-1.35%
- AAPL1.28%
Materials
13 / 20 completed- MLM12.05%
- LYB11.12%
- VMC9.17%
- ALB8.02%
- ECL6.19%
- NEM-12.09%
- EMN-7.00%
- SHW-5.02%
- DD-3.76%
- APD-1.63%
Real Estate
18 / 20 completed- EXR11.55%
- PSA10.90%
- MAA8.58%
- EQR8.44%
- EQIX6.35%
- PLD-11.34%
- CBRE-6.18%
- ARE-4.78%
- AVB-4.19%
- ESS-3.97%
Utilities
14 / 20 completed- NEE8.80%
- WEC3.71%
- ES3.10%
- EIX-1.45%
- AEP-1.54%
- ED-9.34%
- CMS-8.91%
- DTE-7.92%
- DUK-7.60%
- ATO-7.10%
Disclaimer
Past performance does not predict future results. This is a backtest over a fixed historical window and it does not model execution costs, borrowing, taxes, or survivorship of the universe. Nothing here is investment advice.
Generated Apr 23, 2026 · slug macd-signal-cross