ETF Trend Exits, Monthly DCA, and Dip-Ladder Re-entry
Summary
This daily ETF strategy separates ongoing contributions from management of the accumulated position. Monthly dollar-cost averaging can continue during bearish regimes while a simple moving-average filter exits the accumulated stack after a downturn. On recovery, the strategy can reinvest a chosen share of the exited value at once or deploy it through a dip ladder, splitting funds among price levels below the running all-time high; unfilled portions are invested when the trend regime recovers. Hysteresis and an optional death-cross condition adjust how the regime changes.
The document reports historical backtests for MGK and selected comparisons involving QQQ and VOO, including returns, Sharpe ratios, and drawdowns. It explicitly distinguishes a newer published configuration from earlier research, and notes an unresolved difference between Python and TradingView trade counts and drawdown. Results vary by asset, period, and settings; crashes can outrun the signal, whipsaws can trigger costly trades, and deep declines can leave ladder purchases with large mark-to-market losses. The reported tests are not proof of future performance.
Key ideas
- Monthly contributions can continue through bear regimes while the accumulated position follows a separate trend rule.
- A moving-average regime filter can trigger exits, with hysteresis or death-cross confirmation changing its behavior.
- A dip ladder allocates re-entry funds at successive declines from a running all-time high.
- Reported backtest outcomes differ by asset, date range, and configuration.
- The author notes unresolved platform discrepancies and warns of lag, whipsaws, and severe drawdowns.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.