Dual Momentum Strategy Using Fast and Slow Zero-Line Signals

Summary

This trend-following strategy compares fast and slow momentum readings, defaulting to five and ten periods. It enters long when both readings are above zero and exits if either turns negative; it enters short when both are below zero and exits if either turns positive. A long-only mode is available, along with an optional fixed percentage stop-loss.

The document describes use on daily or four-hour charts and lists a BTC/USDT futures backtest from August to September 2023, configured with one-hour bars and a 15-minute base period. It reports no performance statistics, so its claims about accuracy or excess returns cannot be assessed from the provided evidence. The strategy can produce whipsaws in sideways markets, and disabling the stop leaves losses dependent on signal reversals. The short/long signal rules are clearly specified, but no separate treatment of transaction costs or execution is discussed.

Key ideas

• Long entries require both fast and slow momentum to be positive, while short entries require both to be negative.
• A sign change in either momentum measure closes the corresponding position.
• The strategy offers long-only mode and an optional fixed percentage stop-loss.
• The published BTC futures test uses one-hour bars over roughly one month and provides no performance results.
• Range-bound markets can cause repeated reversals, and omitting the stop-loss leaves risk to signal exits.

Tags

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