Question
Which strategies are most robust on SPY?
Catalog strategies on SPY ranked by overall robustness score across the curated case set.
Short answer
Across the 8 SPY strategies in the catalog, the top score is 76/100 (RSI with SMA 200 Trend Filter), median 59, bottom 51 (SMA 200 Crossover).
SPY strategies ranked by robustness score
| Strategy | Score | WCDD₉₅ | Median return | 5th-percentile |
|---|---|---|---|---|
| RSI with SMA 200 Trend Filter | 75.6 / 100 | 7% | 0.0% | -4.8% |
| MACD Signal Line Crossover | 60.4 / 100 | 18% | -0.2% | -14.2% |
| Supertrend Strategy | 60.3 / 100 | 15% | -1.5% | -9.0% |
| Bollinger Band Bounce | 59.8 / 100 | 18% | 0.0% | -16.1% |
| Buy and Hold S&P 500 | 58.5 / 100 | 51% | -1.6% | -48.5% |
| EMA 12/26 Crossover | 53.9 / 100 | 17% | -1.6% | -11.4% |
| RSI 30/70 Mean Reversion | 50.7 / 100 | 39% | 0.0% | -37.4% |
| SMA 200 Crossover | 50.6 / 100 | 21% | 0.0% | -11.4% |
Scores are V2 per-FM-bucket composites (equal-weight across 9 score buckets, shrinkage k=10 for sparse buckets, a-priori augmentation threshold n=5). 0–100; higher = more uniform behaviour across the curated regimes.
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Data is sourced from the curated case set: 31 empirical anchors + 32 synthetic stress probes across 9 score buckets, V2 per-FM-bucket scoring with a-priori augmentation. See /methodology.
Programmatic access: POST /api/v1/agent/analyze · GET /api/v1/catalog/query · see /interop.