Weekly-Gated Momentum Strategy with Risk-Based Position Sizing
Summary
This long-only strategy for Australian equities layers weekly market permission, daily trend structure, a momentum trigger, and liquidity screening. The weekly gate checks that the prior close is above a rising 30-week average and that weekly RSI meets a threshold. Daily filters require price above selected moving averages and reject weakening conditions, including low RSI, a fresh low, or deteriorating directional movement. Entry requires a strong close above the recent five-day high and the short moving average, while an ATR-based anti-chase check, a seven-part setup score, and average traded value screen further constrain signals. Relative performance against the Australian market index contributes to the score.
Position size is calculated from a chosen equity risk percentage and stop distance. The system combines a swing-low hard stop, a ratcheting ATR trail, and a structural trend-failure exit. The script includes configurable inputs and diagnostic states but provides no backtest results or evidence that the thresholds generalize. Its sizing and liquidity assumptions also depend on instrument characteristics and data quality, which are not evaluated in the document.
Key ideas
- A weekly trend and RSI gate must pass before the daily setup can qualify.
- Daily structure filters out weakening price and directional-movement conditions.
- Entries require a recent high breakout, a strong close, an anti-chase check, a minimum setup score, and adequate turnover.
- Position size scales with account equity, a selected risk percentage, and stop distance.
- Exits combine a swing-low hard stop, a rising-only ATR trail, and a structural trend-failure condition.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.