An Eight-Day Run Momentum Strategy Around a Five-Day SMA

Summary

This daily momentum setup uses consecutive closes relative to a five-period simple moving average to identify an extended run. After at least eight closes above the average, it waits for a close back below it to enter long; after a similarly extended run below the average, it waits for a close above to enter short. Positions are closed on the first close back across the average in the opposite direction. The rules turn a prolonged move into a signal to trade its pullback, rather than entering during the run itself.

The document attributes the idea to Linda Bradford Raschke and includes an implementation with starting capital and a commission assumption. It gives no performance statistics, asset-specific tests, or evidence that the thresholds work across markets. The description frames the method for daily futures trading, but the supplied material does not show a particular futures contract or backtest period. As a moving-average rule, it may also be vulnerable to whipsaws and costs; those risks are not analyzed in the document.

Key ideas

• The strategy tracks consecutive closes above or below a five-period SMA.
• After an eight-close run, it waits for a close across the average to enter in the pullback direction.
• A close back across the SMA exits the position.
• The document presents the approach as a daily momentum method for futures markets.
• No performance results or market-by-market validation are provided.

Tags

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