S&P 500 Momentum Strategy — As Simple As It Gets (Rules, Setup, Backtest)

Yes, a momentum strategy for the S&P 500 works. We use monthly bars and a simple moving average strategy crossover system.

Let’s backtest a simple monthly momentum strategy for S&P 500:

1. When the close of the current month crosses above the 12-month simple moving average, we go long.

2. When the close of the current month crosses below the 12-month simple moving average, we sell (and stay in cash until we get a buy signal).

Let’s look at the equity curve shown in the image.

You can find more info about this trading strategy here:
https://www.quantifiedstrategies.com/sp-500-momentum-strategy/

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