Dual Momentum Signals for Long-Short Trend Trading
Summary
This strategy uses fast and slow price momentum measures, with default lookbacks of five and ten periods. It enters long when both measures are positive and closes that position when either turns negative; it enters short when both are negative and exits when either turns positive. A setting can disable short trades, and an optional fixed percentage stop loss can be applied. The author characterizes the idea as fast reacting and suggests it may suit trending instruments on daily and four-hour charts, while noting that long-only operation may fit some instruments better.
The document provides rules and source code but no backtest report, instrument-specific results, or evidence supporting its profitability claims. In sideways markets, momentum signs may change repeatedly and produce whipsaws; a fixed stop can limit some losses but does not establish overall risk control. The strategy is presented as a starting point that needs further development, risk management, and testing across instruments and settings before live use.
Key ideas
- Long entry requires both fast and slow momentum readings to be positive.
- Short entry requires both readings to be negative, unless the long-only option is selected.
- A position is closed when either momentum reading moves against its direction.
- A fixed percentage stop is optional, and the document provides no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.