Daily US Index Timing with Cross-Index Trend and Risk Filters

Summary

This document presents a long-only strategy for multi-month positioning in major US indexes, using the S&P 500 as a broad-market filter and the Nasdaq-100 for additional timing checks. It buys when the S&P 500’s daily lows remain above its 21-day EMA for four days, Nasdaq-100 lows exceed its 14-day and 21-day EMAs, recent closes avoid a pattern of weakness, and S&P 500 ADX is above 16. A trend exit combines a bearish comparison of the 7-day and 107-day averages with weakness in both indexes. A separate stop is set 3.5% below entry, but requires the Nasdaq-100 to also be below its 50-day average.

The document reports historical hypothetical comparisons with buy-and-hold across several ETFs, including leveraged products. It cautions that costs and taxes are omitted and that some leveraged histories do not cover major downturns. The figures are author-reported and do not establish future performance; the method’s rules and results may also depend on the selected instrument and test period.

Key ideas

• The strategy uses the S&P 500 to gauge the market regime and the Nasdaq-100 to confirm entry timing.
• Entry conditions combine moving-average location, recent price behavior, and an ADX trend filter.
• The trend exit requires weakness in both indexes alongside a bearish moving-average relationship.
• The initial loss threshold is confirmed by a separate Nasdaq-100 moving-average condition.
• Reported historical results are hypothetical and omit costs, taxes, and some crisis periods for leveraged instruments.

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