Not supported · Outside indicators & papers · 2026-10-01
Does the VP-MACD paper (SSRN 7545710) replicate, and does it beat buy & hold?
What this means
The paper's plain MACD baseline reproduced exactly, but its VP-MACD results did not (SPY $20.9k against $52.7k claimed). Out of sample, VP-MACD's median yearly return was 3.8% on stocks and 2.8% on ETFs, against about 9% for simply holding the same stocks. It beat plain MACD slightly on a risk-adjusted basis, but trailed buy & hold clearly.
The explanation is our best reading; the data shows the result but not the cause directly.
By timeframe
| Timeframe | Verdict | n | Result |
|---|---|---|---|
| 15-minute | Not tested: outside paper replication on daily data by design | ||
| 1-hour | Not tested: outside paper replication on daily data by design | ||
| 4-hour | Not tested: outside paper replication on daily data by design | ||
| Daily | Not tested: outside paper replication on daily data by design | ||
- Hypothesis
- A volume/volatility-adjusted MACD with a lambda entry rule beats plain MACD and holding the ETF.
- Method
- Python on Yahoo daily data; replication on SPY/QQQ/DIA (paper window 2023 to Feb 2026); broad test on 462 stocks + 33 ETFs with the paper's own tuning on 2016-20, tested 2021 to Sep 2026.
- Result
- Plain MACD baseline reproduces (SPY 40 trades vs paper 40); MACD+lambda and VP-MACD do not (SPY $20.9k vs $52.7k claimed). Paper window: buy & hold SPY +$85.9k vs VP-MACD +$27.5k. Broad OOS medians: stocks CAGR B&H 9.0% vs VP-MACD 3.8% (Sharpe 0.46 vs 0.30); ETFs 9.1% vs 2.8%. VP-MACD beats plain MACD on stocks by Sharpe +0.06 (+0.02, +0.10).
- How much to trust it
- Medium: baseline engine validated against the paper; formula underspecified (window N missing)
- Did it change the live rule?
- not adopted
Scripts and data for this study will be linked here when the research code is published on GitHub.
Education and research only. Not financial advice. Backtests use today's index members (survivorship bias).