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 the S&P 500: When the close of the current month crosses above the 12-month simple moving average, we go long. 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: