ETF Dollar-Cost Averaging with SMA Exits and a Dip Ladder
Summary
This ETF strategy separates ongoing contributions from accumulated holdings. Monthly dollar-cost averaging continues through bear regimes, while an SMA regime filter can exit the accumulated position when price falls below the average. Re-entry deploys part of the exit value through a ladder of purchases at set discounts from the running all-time high; unfilled tranches are invested when price recovers above the SMA. Options include disabling the ladder or pausing contributions below the SMA.
The document reports tests on several US equity ETFs and gives results for particular MGK configurations, including distinct recent defaults and earlier research settings. It also reports a cross-check between Python and TradingView whose return, drawdown, and trade-count differences are not fully reconciled. These results are configuration-specific and do not establish general effectiveness. The author notes delayed fills during fast crashes, whipsaws, prolonged bear-market losses on continuing contributions, and potentially severe drawdowns when ladder purchases precede further declines. Prices from the two platforms also differ because of dividend adjustments.
Key ideas
- Monthly contributions can continue during bear markets while a separate SMA rule manages the accumulated holdings.
- After an exit, a portion of the proceeds can be deployed in tranches at discounts from the running all-time high.
- Unfilled ladder purchases are invested when price recovers above the SMA, and the ladder can re-arm after a failed recovery.
- The document reports configuration-specific tests on US equity ETFs, including differences between Python and TradingView results.
- Fast crashes, whipsaws, long bear markets, and ladder-related drawdowns are identified as material risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.