Ivolution Research Journal · Preliminary results
200-day-SMA trend filter as a drawdown overlay
Holding the index only while it is above its 200-day simple moving average (flat otherwise) reduces maximum drawdown relative to random schedules with the same time in market — a risk-shaping claim, not a return-improvement claim.
Cite as: SYS-01: 200-day-SMA trend filter as a drawdown overlay. Ivolution Research Journal.
Publication status
The calibration evidence is preliminary and has not cleared the complete out-of-sample validation standard.
The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for SYS-01 are available to Terminal + AI members.
Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
close