SMA Momentum
A simple trend-following strategy that goes long on SPY when the price is above its 50-day SMA.
Performance Metrics
- CAGR: 0.0511
- Sharpe Ratio: 0.54
- Max Drawdown: -0.2146
Research
SMA Momentum Strategy
This strategy goes long on SPY whenever the closing price is above the 50-day simple moving average (SMA).
Rationale
pi The strategy is based on the idea that trends persist. When the price is above a long-term average, it tends to continue upward.
Performance Summary
- Tested from 2015 to 2024 on daily SPY data.
- Outperformed buy-and-hold during sideways markets.
- Underperforms during sharp reversals or whipsaws.
Next Steps
Consider adding: - A stop-loss - A volume filter - Dynamic rebalancing based on volatility