Weekly NDX Trend Filter with Monthly Moving Average Envelope Exit

Summary

This Nasdaq-100 strategy combines weekly and monthly price data. It enters long when the weekly close crosses above the 10-month simple moving average and is also above the weekly 200-period exponential moving average. It closes the position when the monthly low crosses below the lower envelope, set 5% beneath the monthly average. The upper envelope is plotted for context, while alerts are issued on weekly bar closes.

The accompanying description reports a backtest with 22 trades, a 76% win rate, a profit factor of 25.2, a 201% net return, and a 5.1% maximum drawdown. Those figures are presented without detailed test methodology, transaction costs, or robustness checks. There is also a discrepancy: the narrative describes an extra 3% buffer below the lower band, but the displayed strategy code exits at the lower band itself. The historical results and stated rationale should therefore be treated cautiously and independently verified.

Key ideas

• A long entry requires the weekly close to cross above the 10-month simple moving average while remaining above the weekly 200-period exponential moving average.
• The displayed exit occurs when the monthly low crosses below a band 5% beneath the monthly average.
• Orders and alerts are intended to operate on weekly closes, using monthly data for the envelope.
• The narrative describes an additional exit buffer that is absent from the displayed code, and reported performance lacks methodological detail.

Tags

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