Volatility-Scaled Trend Following and a Combined Multi-Horizon MACD Signal

Summary

The document contains reusable strategy calculations for price returns, volatility scaling, trend following, and MACD signals. Its intermediate trend strategy combines the signs of one-month and one-year returns, weighted by a parameter, and applies that direction to the next day’s return. An optional volatility adjustment scales exposure toward a stated annualized volatility target using an exponentially weighted estimate from daily returns. The signal is shifted to align the trading direction with subsequent returns.

A separate MACD component computes signals from several short and long exponential averaging horizons, normalizes their spread by rolling price variability and signal variability, and averages the resulting signals. The default configuration uses three horizon pairs. The source gives implementation logic, but no backtest results, asset universe, transaction costs, leverage limits, or risk controls. The volatility target and horizon choices are parameters rather than evidence of suitable settings, and the code alone does not establish that either method is profitable.

Key ideas

• The trend strategy combines monthly and annual return directions using a configurable weight.
• Volatility scaling uses an exponentially weighted daily volatility estimate and targets an annualized volatility level.
• The return signal is shifted to pair a current trend estimate with a later return.
• The MACD method averages normalized signals across several short and long exponential averaging horizons.
• The code provides no empirical results or implementation details such as costs and leverage limits.

Tags

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