A Long-Short Momentum Strategy Based on the 100-Day Moving Average

Summary

The document describes a long-short trend strategy that uses the direction of a 100-period moving average as its momentum signal. It compares the current average with its value 20 trading days earlier: a higher reading triggers a long position, while a lower reading triggers a short position. The stated setup aims to stay invested, switching between long and short exposure as the signal changes. It uses market orders and one share per position in the supplied example.

The author reports backtest profit factors above two for the DAX and CAC 40, and says the approach also worked on several forex pairs. Results were mixed on other instruments, so the claims are not universal. The document gives no test dates, costs, risk-adjusted returns, drawdowns, or comparison benchmarks, and it does not establish that the reported performance will persist. Its invitation to test and improve the method underscores that more validation is needed before live use.

Key ideas

• The signal compares a 100-period moving average with its value 20 days earlier.
• A rising average calls for a long position, while a falling average calls for a short position.
• The example uses market orders and seeks to remain in a position continuously.
• The author reports favorable backtests on some indices and forex pairs, but mixed results elsewhere.
• The document omits test details and does not establish that the reported performance will continue.

Tags

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