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 75/100 (RSI with SMA 200 Trend Filter), median 54, bottom 50 (RSI 30/70 Mean Reversion).
SPY strategies ranked by robustness score
| Strategy | Score | WCDD₉₅ | Median return | 5th-percentile |
|---|---|---|---|---|
| RSI with SMA 200 Trend Filter | 75.3 / 100 | 7% | 0.0% | -4.8% |
| Supertrend Strategy | 57.6 / 100 | 14% | -1.6% | -8.3% |
| MACD Signal Line Crossover | 54.7 / 100 | 16% | -0.4% | -13.9% |
| Buy and Hold S&P 500 | 54.0 / 100 | 58% | -8.9% | -55.7% |
| SMA 200 Crossover | 53.8 / 100 | 19% | 0.0% | -12.9% |
| Bollinger Band Bounce | 53.3 / 100 | 23% | -1.8% | -22.4% |
| EMA 12/26 Crossover | 51.7 / 100 | 16% | -2.3% | -9.9% |
| RSI 30/70 Mean Reversion | 50.3 / 100 | 45% | -2.6% | -43.8% |
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.
Related strategy reports
Related failure-mode definitions
Related questions
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.