Does the golden cross strategy actually work?

It depends what you hire it to do. Across 59 ETFs backtested on 2021–2026 minute data, the golden cross (hold while SMA-50 is above SMA-200) rarely beat buy-and-hold on raw return — its trades are too few and too late for that. Where it earns its keep is drawdown: by sitting out extended downtrends, it typically suffered materially shallower worst losses than holding through. That's the honest trade: give up some upside and all timing precision in exchange for skipping the deepest part of bear markets. If you evaluate it as a return enhancer, you'll be disappointed; as a risk regime filter, it has decades of evidence and our per-ETF pages show exactly how it did on each asset.