Smoothed Momentum Crossovers for Switching Between Leveraged ETFs
Summary
This strategy smooths price momentum in successive stages, then compares the resulting line with an exponential moving average signal line. An upward crossover triggers a switch toward a bullish leveraged ETF, while a downward crossover switches toward an inverse leveraged ETF. State variables track the current direction and help prevent repeated orders for the same side.
The document explains the method’s intended role in tracking medium- to longer-term trends, but reports no backtest performance despite including a configuration for daily XRP/USDT futures. The source refers to leveraged ETFs, so the described instrument logic and published futures configuration do not align clearly. The document also notes crossover delay, whipsaws in sideways markets, sensitivity to smoothing parameters, and leveraged ETF decay. No stop-loss is included; suggested additions include trend filters, volatility-aware settings, position limits, and multi-timeframe confirmation.
Key ideas
- Momentum is smoothed with an EMA, a WMA, and a separate EMA signal line.
- Crossovers between the smoothed momentum line and signal line trigger directional ETF switches.
- State tracking is intended to prevent duplicate same-direction entries.
- Lag, sideways-market crossovers, leveraged ETF decay, and the lack of a stop-loss are material limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.