Moving Average Arrangement Scoring for Trend Timing and Rotation

Summary

The document introduces a moving-average arrangement scoring model, or MASS, that assesses market direction and trend strength from the relative ordering of multiple moving averages. It aims to combine the smoothness of longer averages with the quicker response of shorter averages, addressing the lag and sensitivity tradeoff inherent in using either alone. The model is described for timing broad Chinese equity indexes and industry groups, tracking relative strength between large and small caps, and ranking industries for portfolio selection.

The supplied summary reports favorable historical results across these applications, including timing returns and risk-adjusted measures, size-style rotation results before and after transaction costs, and industry momentum and excess-return statistics at daily, weekly, and monthly frequencies. These are reported figures rather than independently documented tests in the provided text. The underlying research paper is referenced but not included, so details such as sample construction, parameter choices, benchmark treatment, robustness, and out-of-sample performance cannot be assessed. The findings should therefore be treated as claims from the summary, not proof of prospective returns.

Key ideas

• MASS scores the relative arrangement of multiple moving averages to quantify trend direction and strength.
• Combining short and long averages is intended to balance responsiveness with trend smoothing.
• The summary describes using MASS for index timing, size-style rotation, and industry ranking.
• Reported historical results include transaction-cost effects, but the underlying study and validation details are absent.

Tags

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