Russell 2000 Death Cross Trading Strategy - Backtesting and Returns Analysis

A Russell 2000 Death Cross occurs when the 50-day moving average of the Russell 2000 index crosses below its 200-day moving average. This is often seen as a bearish signal, but a new study by Rob Hanna on his blog QuantifiableEdges suggests otherwise. Let’s look at the Russell 2000 death cross trading strategy.

This is a strategy that is very easy to backtest, but we let Hanna’s results speak for itself:

Russell 200 50ma crosses below 200ma (Death Cross). Buy SPX on close. Sell on close when Russell 2000 50ma closes > 200ma. $100k/trade. 1988 - present.

Please note that the backtest was performed on the respective cash indexes, not the ETFs.

The equity curve of the strategy is shown below.

We published the summary of Rob Hanna’s findings on Russell 2000 Death Cross Trading Strategy here;

https://www.quantifiedstrategies.com/russell-2000-death-cross-trading-strategy/