A 45-Day Moving Average Breakout with an Eight-Day Holding Period

Summary

This simple long-only trend strategy enters when the closing price crosses above a 45-day simple moving average, then exits after eight trading days. Following an exit, it waits before allowing another entry on a later upward cross. The stated approach uses a fixed holding period rather than an indicator-based exit or stop loss.

The document outlines the rule and proposes possible refinements, including varying the average and holding period, adding trailing or ATR-based stops, filtering signals with other indicators, and testing across markets. It identifies whipsaws, indicator lag, changing market conditions, transaction costs, and slippage as potential limitations. The published settings specify BTC/USDT futures on Binance over roughly a year, but no return, risk, or trade statistics are reported. The source logic may not match the prose exactly: its re-entry condition requires the prior close to be above the prior average, which differs from a fresh cross from below, and it imposes an additional wait after exit.

Key ideas

• A long entry occurs when the close crosses above a 45-day simple moving average.
• The stated exit rule closes the position after eight trading days.
• The strategy uses a waiting condition before permitting a subsequent entry.
• The author suggests testing alternate average lengths, holding periods, stops, and filters.
• No performance statistics are given, and lag, false breakouts, costs, and slippage are cited as risks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.