A Double-BIAS Crossover Strategy for Rebar Futures
Summary
This article introduces BIAS, the percentage distance between a closing price and its moving average, and interprets large positive or negative deviations as potential mean-reversion conditions. It then builds a directional strategy by comparing short- and long-period BIAS values. The example uses rebar futures data, calculates signals from the previous completed candle, and maintains a virtual position that switches between long and short as the relative readings cross.
The article includes implementation steps and a backtest setup, with performance charts referenced but no numerical results described in the text. It notes that virtual positions assume complete fills and are mainly suited to backtesting; live trading should track actual positions. The proposed BIAS rationale rests on price tending to return toward its moving average, but this is not guaranteed. Parameter choice affects sensitivity, and the article suggests combining BIAS with other indicators rather than treating it as a standalone guarantee of performance.
Key ideas
- BIAS measures the percentage difference between price and a moving average.
- The strategy compares short- and long-period BIAS readings to generate directional entries and exits.
- Signals use the previous completed candle, while orders are placed using the latest price.
- Virtual positions simplify backtests but assume full fills and do not represent live execution accurately.
- Moving-average reversion and parameter choices can fail to capture changing market conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.