Monthly Long-Short Timing with a Supersmoother and Moving Average

Summary

This document presents a monthly directional timing system intended to limit risk while maintaining market exposure. It combines an eight-period Ehlers Supersmoother with a 40-period simple moving average. The system enters or maintains a long position when price is above a rising smoothed value, and switches short after price crosses below the moving average. It is described as always holding either a long or short position and trading infrequently.

The author reports a maximum risk exposure of 13.22% and a maximum drawdown of 2.58%, and says the moving-average choice was robust across a range of variations. However, the document does not specify the test asset, date range, transaction costs, or detailed evaluation procedure, so the reported performance cannot be independently assessed from the information given. The approach is presented as a long-term regime filter that could inform shorter-term strategies, rather than as a fully documented, broadly validated trading system.

Key ideas

• The system uses monthly data and combines an eight-period Supersmoother with a 40-period simple moving average.
• It holds either a long or short position, switching direction according to price and indicator conditions.
• The author characterizes the system as low-turnover and focused on capital preservation.
• Reported risk and drawdown figures lack enough test context to assess their reliability.

Tags

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