This strategy follows trends across multiple asset classes. It applies a simple moving average filter to each security in the universe and rebalances the portfolio on the first trading day of each month. Positions are taken only when price is above the moving average.
Testing indicates an average annual return of about 15%. It performs best on diversified futures portfolios.
At the start of each month, securities trading above their SMA receive an equal allocation of capital. Positions are closed when price falls below the SMA or when capital is reassigned at the next rebalance.
Entry Criteria: Close > SMA
Long/Short: Long only
Exit Criteria: Close <= SMA or removed at rebalance
Stops: None; capital is redistributed monthly
Default Values:
SmaLength = 210
MinTradeUsd = 50
CandleType = daily
[*]Filters:
Category: Trend following
Direction: Long only
Indicators: SMA
Stops: No
Complexity: Intermediate
Timeframe: Long-term
Seasonality: No
Neural networks: No
Divergence: No
Risk level: Medium