Monthly Asset-Class Trend Following with a 10-Month Moving Average

Summary

The strategy allocates across five exchange-traded funds representing US equities, foreign equities, bonds, real estate, and commodities. At a monthly rebalance, it holds each asset class whose price is above its 10-month simple moving average and moves the allocation for assets below that threshold to cash. The implementation approximates the monthly lookback with a 210-trading-day moving average.

When several assets qualify, the portfolio assigns them equal weights; if none qualify, it holds no qualifying ETF. The code outlines a QuantConnect implementation with a daily average and minute-resolution subscriptions. It supplies no backtest results, transaction-cost analysis, benchmark comparison, or details on cash yield, so it describes a systematic rule rather than evidence of profitability.

Key ideas

• The strategy monitors five ETFs covering equities, bonds, real estate, and commodities.
• It checks each ETF against a 10-month simple moving average once per month.
• Assets above their averages are held at equal weights, while those below are liquidated to cash.
• The implementation uses a 210-day average as an approximation and 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.