Trend: 25 Backtests

We backtested 25 trend strategies across crypto, ETFs, US stocks. 2 beat buy-and-hold before correction; best +12.6 pts/yr.

Every result below is the strategy's annualized return minus buy-and-hold on the same assets and days, charged real trading costs and scored only on data up to the discovery cutoff. See the full family index, the full method and every result, or download the raw registry (JSON).

0 of these 25 strategies were significant at p < 0.05 before any correction for multiple testing, and 2 of 25 beat buy-and-hold on the raw excess-return number across crypto, ETFs, US stocks. Across the whole registry we ran 260 tests and applied one Benjamini-Hochberg correction; only 0 of those survived it, which is why a single significant p-value inside one family isn't treated as a working edge here — the correction is explained in full on the evidence page. This family was last re-scored on 2026-09-18, using only data up to the 2025-03-15 discovery cutoff — the same freeze point every family in the registry is held to, so none of them can see data the others couldn't. Trend is tested across 3 asset classes (crypto, ETFs, US stocks); a strategy only joins this family because of the signal it trades on, not the asset it's tested against.

• Donchian 20-day breakout on BTC (crypto trend variant) (crypto): +12.6 pts/yr, behind buy-and-hold, p=0.338. Source: Turtle Trader Donchian methodology adapted to crypto; cf. edge §12, §42.
• Turtle 20/55 Donchian breakout (crypto): +2.3 pts/yr, behind buy-and-hold, p=0.452. Source: Curtis Faith, 'The Complete TurtleTrader' (2007); original 1983 rules.
• Darvas box breakout (US stocks): −0.6 pts/yr, behind buy-and-hold, p=1.000. Source: Nicolas Darvas box method, 1960 book.
• Dual moving average crossover (50/200 SMA) on SPY (ETFs): −1.4 pts/yr, behind buy-and-hold, p=1.000. Source: Faber 2007 SSRN 962461.
• Triple MA alignment filter (GLD) (ETFs): −2.3 pts/yr, behind buy-and-hold, p=1.000. Source: Common retail trend-stacking heuristic; cf. edge trend §12 dual-MA.
• 200-day SMA trend filter on QQQ (ETFs): −2.9 pts/yr, behind buy-and-hold, p=1.000. Source: Faber 2007, A Quantitative Approach to Tactical Asset Allocation.
• Faber GTAA 10-month SMA timing across 5 asset classes (ETFs): −2.9 pts/yr, behind buy-and-hold, p=1.000. Source: Faber 2007 SSRN 962461.
• Classic MACD(12,26,9) crossover (GLD) (ETFs): −3.0 pts/yr, behind buy-and-hold, p=1.000. Source: Appel, 'Technical Analysis: Power Tools for Active Investors'.
• 52-week high breakout, 20-week trailing stop (QQQ) (ETFs): −5.7 pts/yr, behind buy-and-hold, p=1.000. Source: Darvas box / O'Neil CANSLIM breakout tradition; cf. edge R4 #4.
• Classic MACD(12,26,9) crossover (GLD) (wide US stocks) (US stocks): −6.3 pts/yr, behind buy-and-hold, p=1.000. Source: Appel, 'Technical Analysis: Power Tools for Active Investors'.
• 200-day SMA trend filter on QQQ (wide US stocks) (US stocks): −8.8 pts/yr, behind buy-and-hold, p=1.000. Source: Faber 2007, A Quantitative Approach to Tactical Asset Allocation.
• Dual moving average crossover (50/200 SMA) on SPY (wide US stocks) (US stocks): −8.9 pts/yr, behind buy-and-hold, p=1.000. Source: Faber 2007 SSRN 962461.
• Donchian 20-day breakout on BTC (crypto trend variant) (wide US stocks) (US stocks): −10.5 pts/yr, behind buy-and-hold, p=1.000. Source: Turtle Trader Donchian methodology adapted to crypto; cf. edge §12, §42.
• Triple MA alignment filter (GLD) (wide US stocks) (US stocks): −10.7 pts/yr, behind buy-and-hold, p=1.000. Source: Common retail trend-stacking heuristic; cf. edge trend §12 dual-MA.
• 52-week high breakout, 20-week trailing stop (QQQ) (wide US stocks) (US stocks): −11.5 pts/yr, behind buy-and-hold, p=1.000. Source: Darvas box / O'Neil CANSLIM breakout tradition; cf. edge R4 #4.
• Volatility-scaled time-series momentum (constant vol target) (wide US stocks) (US stocks): −16.6 pts/yr, behind buy-and-hold, p=1.000. Source: Baltas & Kosowski 2013 SSRN 2140091.
• Inside bar breakout (wide US stocks) (US stocks): −17.0 pts/yr, behind buy-and-hold, p=1.000. Source: classic price-action inside-bar breakout pattern.
• Parabolic SAR flip trend-follow (wide US stocks) (US stocks): −17.6 pts/yr, behind buy-and-hold, p=1.000. Source: YouTube 'top 5 indicators' compilations featuring Parabolic SAR.
• Volatility-scaled time-series momentum (constant vol target) (US stocks): −17.6 pts/yr, behind buy-and-hold, p=1.000. Source: Baltas & Kosowski 2013 SSRN 2140091.
• Weinstein Stage 2 breakout (wide US stocks) (US stocks): −18.7 pts/yr, behind buy-and-hold, p=1.000. Source: Stan Weinstein stage analysis.
• Weinstein Stage 2 breakout (US stocks): −19.9 pts/yr, behind buy-and-hold, p=1.000. Source: Stan Weinstein stage analysis.
• Donchian Channel 20-bar breakout (turtle-lite) (crypto): −24.8 pts/yr, behind buy-and-hold, p=1.000. Source: YouTube 'Turtle Trading breakout strategy' tutorials, Curtis Faith's 'Way of the Turtle'.
• Parabolic SAR flip trend-follow (crypto): −51.5 pts/yr, behind buy-and-hold, p=1.000. Source: YouTube 'top 5 indicators' compilations featuring Parabolic SAR.
• Donchian channel breakout long-term (55/20) (crypto): −55.1 pts/yr, behind buy-and-hold, p=1.000. Source: Curtis Faith 'Way of the Turtle' 2007.
• Inside bar breakout (crypto): −74.9 pts/yr, behind buy-and-hold, p=1.000. Source: classic price-action inside-bar breakout pattern.

Related families: Mean reversion, Momentum, Seasonality.