Independent quantitative research
Margin & Co. tests the four indicators retail traders rely on most — EMA, VWAP, MACD and RSI — on data they have never seen, after spreads, commission and slippage. The results are published weekly, including the weeks nothing works.
Week 01 · 23 August 2026
None of the 4 indicators beat buy & hold once costs were applied.
Tested on 763 S&P 500 and FTSE 350 companies, measured over 1 August 2023 to 21 August 2026 — data the rules had never seen. Buy & hold returned a Sharpe ratio of 1.50 over the same window. MACD, VWAP, EMA produced a negative Sharpe after costs — they lost money net of what it cost to trade them.
The decay curve
Results
763 companies — MMM, AOS, ABT, ABBV, ACN, ADBE and 757 others — over 17 August 2016 to 21 August 2026, costed at 8 basis points per side.
| Indicator | In-sample Sharpe |
Out-of-sample Sharpe (gross) |
Out-of-sample Sharpe (net) |
Trades | Cost paid | Max drawdown | Verdict |
|---|---|---|---|---|---|---|---|
| RSI | 0.12 | 0.56 | 0.48 | 86717 | 9.4% | -6.4% | WEAKENED |
| MACD | 0.15 | -0.35 | -0.62 | 249638 | 52.3% | -25.0% | FAILED |
| VWAP | -0.19 | -0.30 | -0.70 | 378989 | 79.4% | -27.1% | FAILED |
| EMA | -0.15 | -0.79 | -0.85 | 60426 | 12.6% | -30.6% | FAILED |
| Buy & hold | 0.86 | 1.50 | 1.50 | 0 | 0.1% | -14.3% | benchmark |
Why this exists
Search for “MACD strategy backtest” and you will find thousands of results showing spectacular returns. Almost all of them share the same three flaws.
Try enough combinations of moving-average lengths and one of them will have worked, by chance. That is a search result, not a discovery. Here the rules are fixed on the first 70% of history and the remainder is measured once.
Every trade pays the bid–ask spread, commission and slippage. A strategy that trades daily pays those costs roughly 250 times a year. In week 01, the worst offender paid away 79% of its notional value.
A signal computed from Monday’s closing price cannot be traded until Monday has closed — but most homemade backtests let it earn Monday’s return anyway. That single mistake is worth about 20 points of Sharpe ratio in our own test harness, which is why a test exists specifically to catch it.
The weekly report
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