Quantifying a Dual Moving-Average and Price-Breakout ETF Strategy

Summary

This student response translates a discretionary ETF approach into simple trading conditions. It describes a dual moving-average breakout idea using the 150-period or 30-period average alongside prior highs and lows: a move above the relevant average and a previous high is treated as bullish and calls for a long position; a move below the previous low and the 150-period average is treated as bearish and calls for a short position. The response does not clarify exactly how the two averages interact, or define trade timing, exits, or position sizing.

It also gives a high-level strategy development workflow: formulate a selection idea, obtain relevant data, choose factors, set the number of holdings, allocation rules, and rebalancing frequency, then backtest and submit the strategy for simulation. This is a brief outline rather than a tested strategy or a detailed research protocol. No backtest results, transaction-cost assumptions, ETF universe, or risk controls are provided, so the described rules should be treated as an initial specification rather than evidence of profitability.

Key ideas

• The proposed ETF method combines moving-average conditions with breaks of prior highs or lows.
• A bullish break is associated with taking a long position, while a bearish break is associated with shorting.
• The response leaves the precise interaction between the averages and price levels undefined.
• The suggested workflow covers data, factor selection, holdings, allocation, rebalancing, backtesting, and simulation.
• No performance evidence or transaction-cost assumptions are reported.

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