Adaptive Weekly Momentum Exits for a Leveraged ETF Strategy

Summary

This weekly long-only strategy for a leveraged ETF enters at the start of Monday’s regular session and sets an initial profit target and a fixed stop. At Monday’s close, it raises the target if the position is modestly profitable, lowers it if the position is flat or losing, and otherwise leaves it unchanged. At Tuesday’s close, it can exit if Monday’s return exceeded one threshold but the current return falls below another. Positions still open at week’s end are closed. The script uses 10% of equity for sizing.

The document presents the rules as an adaptive version of a weekly return concept and describes the order-handling setting used to update orders after fills. It provides no performance series, test results, or comparison establishing that the changes improve returns or reduce drawdowns. The strategy is designed around a specific leveraged ETF context, and its weekly schedule, fixed stop, changing targets, execution assumptions, and sensitivity to price paths limit how broadly its behavior can be generalized.

Key ideas

• The strategy opens a long position at Monday’s regular-session start and sets a stop and profit target.
• Monday’s closing return determines whether the target is raised, lowered, or left at its initial level.
• A Tuesday close rule exits when a strong Monday return is followed by a return below a separate threshold.
• Any position that remains open is closed at the end of the trading week.
• The document describes the rules but gives no performance evidence validating their effectiveness.

Tags

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