Double-Smoothed EMA Crossover Strategy for Leveraged Long Positions

Summary

This daily-chart strategy enters long when a fast, double-smoothed exponential moving average crosses above a slower double-smoothed average. It closes on the reverse crossover or when price reaches a hard stop set as a percentage below the average entry price. Position quantity is calculated from current strategy equity multiplied by a leverage input, and pyramiding is disabled. The script includes an adjustable start year and is presented for SPY, ES, and SPX.

The author reports a 20% compound annual growth rate over an 85-year period and a maximum drawdown, while noting the backtest uses 4x leverage; a comment gives a different drawdown figure from the description. These are author-reported claims, not independently validated results, and the document does not provide a detailed performance report or transaction-cost assumptions. The strategy’s long-only crossover rules, leverage, and stop settings expose it to substantial losses and make careful evaluation across data and execution assumptions necessary.

Key ideas

• The system buys when the faster double-smoothed EMA crosses above the slower one and exits on the bearish cross.
• A hard stop is set below the average entry price using a configurable percentage.
• Position size scales with strategy equity and the selected leverage, with pyramiding disabled.
• The author reports long-run returns and drawdown figures, but the document offers no independent verification.

Tags

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