NDX Weekly Trend Entries with a Monthly Moving Average Envelope

Summary

This long-only Nasdaq-100 strategy combines a monthly 10-period simple moving average with weekly signals. It enters when the weekly close crosses above the monthly average, provided the weekly close is also above its 200-period exponential moving average. The monthly average defines an envelope with bands five percent above and below it. The source code exits when the monthly low crosses below the lower band; accompanying prose instead describes an additional three percent buffer, so the stated exit rule is inconsistent with the code.

The document reports 22 trades, a 76% win rate, a profit factor of 25.2, a 201% net return, and a 5.1% maximum drawdown. These figures are presented without enough detail here to assess the test period, data assumptions, or robustness. The strategy executes at weekly closes and is tailored to NDX's historical upward drift; the document warns that a prolonged bear market or changed market regime may produce poor results.

Key ideas

• The entry requires a weekly close crossing above the monthly 10-period average and above the weekly 200-period EMA.
• The monthly envelope places its upper and lower bands five percent from the average.
• The code exits on a monthly low crossing below the lower band, while the prose claims an extra three percent buffer.
• The reported results are historical figures without sufficient test details to establish robustness.
• The strategy is long-only and may fare poorly if NDX's historical upward tendency changes.

Tags

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