Multi-ETF Timing with Short and Medium Moving Average Crossovers

Summary

This strategy applies moving-average crossover timing to a fixed basket of seven exchange-traded funds. For each instrument, it calculates short and medium averages from daily closing prices; an upward crossover opens a position and a downward crossover closes it. The portfolio checks signals each trading day, assumes execution at the open, and targets equal weights for positions that enter. Its backtest spans July 2019 through January 2026, uses a 60-calendar-day warm-up, starts with one million yuan, and compares results with the CSI 300 while accounting for stated per-trade fees.

The document reports a cumulative return of 92.32%, annualized return of 10.96%, and Sharpe ratio of 0.86. These are historical backtest figures, not evidence of future performance; the author notes that actual slippage may exceed the modeled costs. Suggested robustness improvements include filters for choppy markets, volatility-based sizing, drawdown controls, rolling parameter checks across market regimes, and a benchmark better matched to the fund basket.

Key ideas

• The strategy buys when the short moving average crosses above the medium average and exits on the reverse crossover.
• It applies the rules independently to a fixed basket of seven funds and targets equal weights on entry.
• Signals are checked daily and trades are assumed to execute at the opening price.
• The reported backtest includes transaction fees, but actual slippage may be higher than assumed.
• The document recommends testing parameter stability and adding filters or risk controls.

Tags

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