Looks interesting, although i did wonder why @Vladimir wants @Rodrigo to publish it, rather than publishing it himself? Anyway, whatever.
I confirmed the numbers quoted by Vladimir, and also tried increasing the account size to $1MM & $10MM to check scalability. Only a small degradation in results, still substantially the same. At $10MM acct, return = 527%, alpha = 0.19, beta = 0.09, Sharpe = 1.01, MaxDD = -34.27%. Looks impressive over a 10 year test period, and a little bit of work could probably bring that DD down as well, without having to do too much curve fitting stuff. Looks like a GREAT system, huh?
OK, so what's the catch then?
Try it with almost anything other than AAPL as the "one & only" stock and you will quickly see.
For example SPY: Return = 36%, Sharpe 0.28, maxDD 36.8%; NVDA: Rtn =127%, Sharpe 0.42, maxDD=54.3%; AMZN: Rtn=100%, Sharpe=0.41, maxDD = -34.5%, and most others worse than that.
I'm NOT saying that judicious switching from stocks to bonds (TLT) based on some indicator (here MACD) isn't a good idea, but the problem here is the use of a particular kind of data mining "trick": At the end of 10 years, AFTER you already know what was the best-performing stock, use that to show how good a system looks. The problem is that, back at the start, it was not known how good AAPL would be.
So this is a kind of look-ahead bias effect. Vladimir obviously knows exactly what he is doing, but be careful Rodrigo! ;-))