A Multi-Market Trend Strategy With Crash Recovery and Conditional Exits
Summary
This long-only strategy uses daily signals from broad US equity proxies to time exposure to a Nasdaq-tracking instrument. Entries require strength across several measures, including consecutive closes holding above a short exponential average, price above key averages, and a trend-strength filter. A bullish Bitcoin setup can also serve as an alternative entry assist when the broad market meets a condition. Position size scales with strategy equity and a leverage input.
Exits vary according to whether a trade is losing or winning, using moving-average weakness and a price stop condition. The strategy tracks the broad market’s all-time high and, after a sufficiently deep drawdown, can hold a position until that prior high is recovered. The author claims a low historical maximum drawdown and index-like performance, but the document supplies no independent analysis or detailed report to substantiate those claims. Backtest results may depend on symbol mapping, daily data, execution assumptions, and the recovery rule’s extended holding through declines.
Key ideas
- Entries combine broad-market trend conditions with strength in the Nasdaq proxy and a trend-strength filter.
- A bullish Bitcoin configuration can act as an alternative entry signal under a broad-market condition.
- Exposure is sized as a multiple of strategy equity controlled by a leverage setting.
- Trade exits use different weakness rules for losing and winning positions.
- After a deep broad-market drawdown, the strategy can defer exits until the prior all-time high is recovered.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.