Daily SMA Trend
Trend following · Equity ETFs · Daily
The rules, in plain English
This holds each sector ETF only while its 50-day moving average sits above its 200-day average, rebalancing daily to target weights. It is the portfolio-weight version of the classic golden-cross trend rule. When the trend turns down, that ETF goes to cash instead of riding the fall.
The published backtest
| Total return | +537.0% |
|---|---|
| CAGR (annual growth rate) | +7.38% |
| Sharpe ratio | 0.45 |
| Maximum drawdown (worst peak-to-trough fall) | -34.7% |
| Win rate | 72.6% |
| Profit factor | 2.48 |
| Risk grade (our shorthand, from the published figures) | C |
| Asset class | Equity ETFs |
| Style | Trend following |
| Timeframe | Daily |
| Type | Weights |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Held up
This one made money in its published backtest, but modestly for the risk taken — look at the Sharpe ratio and the worst drawdown together before forming any opinion.
Worst drawdown in the published test: -34.7% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.