Strategies · Library · ETFs
§4.1.1Trend
Sector momentum rotation with MA filter
A variant of §4.1 Sector momentum rotation
Same sector rotation, but a top-ranked ETF is only bought if its price is above its own long moving average (and shorted only if below). The filter skips winners that have already started to roll over.
Open in the builderAs a long-only proxy; see how ARCANE uses it.
- Asset class
- ETFs
- Held for
- Months
- Data
- ARCANE has the data
- Symphony
- Builds as a long-only proxy
The rule
- Signal
- Sector ETF cumulative return rank, plus price versus a 100 to 200 day moving average
- Entry and exit
- Buy a top-ranked ETF only if price is above the average; check each rebalance.
- Sizing
- Equal across ETFs that pass
How it fails
- Whipsaw around the average
- Cash drag when few pass
- Lag at turns
Data it needs
- daily adjusted closes
Daily closes are available.
How ARCANE uses it
Useful for a Call that a sector will beat the market, adding a trend confirmation (paper only).
Builds as a long-only proxy. Top-N momentum with an extra price-above-SMA condition per ETF; build as momentum rotation with SMA filter, short leg dropped.
Filed under the trend card
Hold each market in the direction of its own return over the past year, and size every position to the same expected volatility.
A paper plan from this card holds 21 to 252 days, stops at 2× the expected move and uses at most 100% of your risk budget. The card
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §4.1.1, p. 63 of the SSRN version. Described in our words. Trend is ARCANE’s filing, not the book’s.