A Multi-Asset ETF Trend Strategy Using Short and Long Moving Averages

Summary

The article describes a daily, long-only ETF rotation system that applies a five-day and a 42-day closing-price moving average to each asset. Crossovers generate buy and sell decisions, while available capital is allocated equally among positions with buy signals. Its universe contains 13 ETFs spanning equities, commodities, bonds, and overseas markets, with diversification intended to let stronger trends in some assets offset weakness in others.

A backtest covering January 2019 through April 24, 2026 reports a 104.42% cumulative return, 10.70% annualized return, 0.86 Sharpe ratio, and 6.94% maximum drawdown. These are the article’s reported historical results, not evidence of future performance; the document does not provide enough detail here to independently assess the test methodology. It notes that sideways markets can trigger repeated small losses, trades may incur costs and slippage, and gaps can worsen drawdowns. Signals also enter after trends are established, so the method does not seek exact turning points.

Key ideas

• The system uses five-day and 42-day moving averages to time each ETF independently.
• Capital is divided equally among assets with active buy signals, and sell signals rotate holdings.
• The 13-ETF universe spans several asset classes and markets to diversify exposure.
• The reported backtest includes return and drawdown figures, but historical performance may not persist.
• Sideways price action, trading costs, slippage, and overnight gaps can hurt results.

Tags

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