Strategies · Library · ETFs
§4.6Trend
Multi-asset trend following
Hold a small set of ETFs across stocks, bonds, gold and more, keeping only those with positive past return (and optionally above a long moving average). Weight by return, return per unit of volatility, or return per variance.
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
- Cumulative return over 6 to 12 months and volatility per ETF; optional price versus moving average
- Entry and exit
- Keep ETFs with positive return; weight by chosen rule; rebalance monthly.
- Sizing
- Proportional to return, return over volatility, or return over variance, with caps
How it fails
- Trend reversals
- Correlation spikes
- Lags in sharp reversals
Data it needs
- daily adjusted closes
Daily closes for SPY, EFA, EEM, TLT, GLD, DBC, VNQ are available.
How ARCANE uses it
Good base for Calls on which asset classes lead; Alpha can quote the trend table (paper only).
Builds as a long-only proxy. Use momentum rotation with a safe fallback; the return-proportional weights are replaced by equal weights.
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, §4.6, p. 66 of the SSRN version. Described in our words. Trend is ARCANE’s filing, not the book’s.