A Dual Moving Average Crossover Strategy with Next-Open Execution

Summary

This brief strategy example uses two simple moving averages of closing prices to generate entry and exit signals. It buys when the five-day average rises above the ten-day average, placing the order at the following session’s open. After entering, it sells when the five-day average falls below the ten-day average, again using the next open for execution. The rule is a basic trend-following approach: the shorter average tracks recent prices more closely, while the crossover against the longer average defines the signal.

The document presents the rule as an example to adapt and says it requires a particular platform environment. It gives no asset universe, position sizing, transaction-cost assumptions, stop rules, backtest results, or comparison with a benchmark. Consequently, it explains a signal convention but does not establish that the strategy is profitable or robust. A practical evaluation would need to account for delayed execution at the next open, turnover, price gaps, and the tendency of moving-average systems to produce whipsaws in sideways markets.

Key ideas

• The entry signal occurs when the five-day closing-price average exceeds the ten-day average.
• The strategy enters at the next session’s open after an entry signal.
• An exit is triggered when the five-day average falls below the ten-day average and executes at the next open.
• The example gives no evidence of performance or guidance on costs, sizing, or risk controls.

Tags

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