Strategy
Trend Following
Holds an asset only while its own trend is positive.
EXPERIMENTAL
Methodology
- Method
- Time-series 12–1 momentum across stocks, bonds, gold, dollar and sectors; Donchian 55/20 breakout as a challenger.
- Data
- Daily bars, ETFs
- Horizon
- ~1 month
- Strategy pod
- trend
Risk caveat
Whipsaw in range-bound markets; cash drag in recoveries.
Validation evidence
Experimental; does not beat an equal-weight universe in our tests.
Simulated, survivorship-biased backtests on today's large caps. Hypothetical; not a forecast. Disclosures.