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Plan C — Crash Regime EMA Stack Shorts
Regime Crash (SPY 20d < -4% AND realized volatility >= 15%)
Symbols SPY only
Instrument Options — puts
Timeframe 2-min bars; entry 10:30 ET (single entry per day)
Risk 5% = $3,500
Hold Period Intraday, force close 15:50 ET
Backtest Edge 54.3% WR, PF 1.47, +$24,760

Plan C is the system's direct short bet on a violent market selloff. The "why" is straightforward: when the entire market is breaking down fast and volatility is high, the index itself can be the cleanest thing to short.

If you are new to the language here:

  • EMA means Exponential Moving Average, a faster-reacting trend line.
  • Realized volatility measures how much the market has actually been moving.
  • SPY is the S&P 500 ETF, used here as the market proxy.

See the Glossary for the full definitions.

When It Fires

Plan C activates when the market is in freefall with high volatility. If SPY 20d < -4% but RV < 15%, that's a slow grind — sit out, no edge.

That distinction matters. A fast, emotional selloff creates the kind of momentum this plan wants. A slow drip lower usually does not.

Entry — EMA Stack Bearish

The plan is trying to confirm that short-term, medium-term, and long-term trend measures are all pointing down together. Think of it as requiring multiple layers of downward pressure to line up before taking the trade.

All conditions on completed 2-min bar at or after 10:30 ET:

  1. Bearish EMA stack: EMA5 < EMA10 < EMA21 < EMA50
  2. Price below EMA200 (macro downtrend confirmed)
  3. Close below EMA21

Max 1 signal per day in crash regime.

Sizing

The size is based on how far price is from EMA50, which acts as the initial stop line.

risk_pct  = 5%
stop_dist = |entry_price - EMA50|
contracts = floor((equity * 0.05) / (stop_dist * 0.43 * 100))

Stop Logic

The stop starts wider, then tightens once the trade moves in the right direction.

  • Initial stop: EMA50
  • Trail activation: Price moves below entry (first profitable bar) → stop moves to EMA21

Backtest Results (2016-2026, $70K flat)

Total P&L: +$108K (deterministic, no Monte Carlo needed)

Never Live Tested

Plan C has never run in a live crash regime. First real crash will be the first live test.

Strategic Fit

Plan C is the short side of the crash playbook. Plan Alpha is the long side (buying oversold individual stocks with calls). Together they form a natural hedge: short the index + long the strongest individual bounces.