A Dual-Index Trend Strategy for Long-Term US Equity Positions

Summary

This long-only position strategy combines daily signals from the S&P 500 and Nasdaq-100. It enters when the S&P 500 has held above its 21-day EMA for four consecutive days, Nasdaq-100 lows are above their 14-day and 21-day EMAs, recent closes do not show sustained weakness, and the S&P 500 ADX exceeds 16. It exits on confirmed weakness across the indexes or when a 3.5% loss from entry coincides with price below the Nasdaq-100 50-day SMA. The document frames the approach for multi-month trades, with configurable dates and a fixed initial stop.

The author lists hypothetical backtest returns and drawdowns for several index and leveraged ETFs, alongside buy-and-hold comparisons, and says the setup was intended for major US indexes. These figures are not independent evidence: the document notes that fees and taxes are excluded, and leveraged examples omit earlier market crises. The strategy’s results may depend on instrument, sample period, execution assumptions, and parameter choices; the document provides no out-of-sample validation.

Key ideas

• The entry combines broad-market strength in the S&P 500 with price and momentum checks in the Nasdaq-100.
• An ADX threshold is used to avoid entering when the broad index is not trending strongly enough.
• Exits require either cross-index trend weakness or a price stop confirmed by a moving-average condition.
• The rules target multi-month long positions and were designed primarily for major US indexes.
• Reported backtests are hypothetical, exclude costs, and have limited coverage of market regimes for leveraged products.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.