Twelve-Month Return Momentum with a Moving Average Signal

Summary

This strategy calculates a trailing twelve-month percentage return, adapting its lookback to the chart interval. It uses approximate trading-bar counts for daily and weekly charts and calendar months for monthly charts; other intervals estimate bars per year from timestamp spacing. A simple moving average of the return series supplies the signal reference. Crossing above that average opens a fully allocated long position, while crossing below closes the long and moves to cash unless shorting is enabled, in which case it opens a short position. The lookback is limited by available chart history.

The document identifies the approach as an implementation of the absolute-momentum component of dual momentum. It shows the calculation and trading rules, but the accompanying text is cut off and supplies no backtest settings, performance statistics, transaction-cost assumptions, or comparison with a benchmark. The adaptive bar estimate and selected return-average length may behave differently across chart intervals, so the signal's reliability and suitability are not established by the material provided.

Key ideas

• The signal is the trailing twelve-month return compared with a simple moving average of that return.
• A cross above the average opens a long position using the configured equity allocation.
• A cross below the average closes the long or opens a short, depending on the shorting setting.
• The lookback adapts to chart intervals and is capped by available history.
• The document provides no performance evidence or benchmark comparison.

Tags

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