Trend-Pullback Entries Using Ordered Moving Averages
Summary
This strategy searches China A-shares for an established uptrend, then enters on a modest pullback. It defines the trend with five moving averages, spanning short to longer periods, arranged from highest to lowest. A pullback signal occurs when a candle falls through the 10-day average without breaking the longer averages, while the bullish ordering remains intact. Entry is at the next session’s open; exit follows a short-term average crossing below a longer-term one, also traded at the next open. Positions are equal weighted, with a cap of 100 holdings.
The article reports a historical backtest from early 2013 through January 2015, with a total return of 78.67% and annualized return of 34.3%. It cautions that the market was favorable during this interval and recommends assessing a longer period. The example is an instructional strategy outline; the reported figures alone do not establish robustness, and the document gives no further detail on costs or other implementation assumptions.
Key ideas
- A bullish trend is defined by five moving averages in descending order from short to long period.
- A pullback signal requires a break below the 10-day average while longer averages and the bullish ordering hold.
- The system enters at the next open and exits after the five-day average crosses below the 40-day average.
- It equal-weights holdings and limits the portfolio to 100 stocks.
- The reported backtest covers a favorable historical interval, so the results may not generalize.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.