Long-Only Stock Strategy Using a 200-Period Trend Filter
Summary
The document describes a long-only stock strategy that trades when the closing price is above a rising 200-period moving average. It uses a faster and a slower moving average as a crossover trigger: a bullish cross opens a position, and a bearish cross closes it. Position size is calculated from initial capital plus accumulated strategy profits, so the approach reinvests gains. The author suggests optimizing the two shorter moving-average periods and gives example settings of 3 and 4.
The document reports a test on Pernod Ricard over the past 20 years and claims broad profitability across stocks, but supplies no performance figures or comparative analysis to support that claim. It does not describe transaction costs, slippage, risk controls, or how the example was tested. The method is a simple trend-following rule; the stated results should not be treated as evidence that it generalizes to other stocks or periods.
Key ideas
- A rising 200-period moving average and price above it define the strategy’s long-term bullish filter.
- A crossover between two shorter moving averages triggers entries and exits.
- Position size uses starting capital plus strategy profits, reinvesting gains.
- The author proposes optimizing the shorter moving-average periods but provides limited test evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.