A Dual Moving Average Futures Strategy with a Long-Term Trend Filter

Summary

This example describes a daily, long-only futures strategy using a 10-period average crossing a 30-period average to generate entry and exit signals. A 120-period moving average acts as a trend filter: the strategy opens a position after an upward crossover only when price is above that longer average, and closes an existing position after a downward crossover. For multiple selected contracts, it assigns equal target weights.

The document also specifies a one-year default test window, a 200-day data warm-up, opening-price execution, and per-order commission settings. It presents implementation details but no performance results or analysis, so it offers no evidence that the rules are profitable. It also leaves important live-trading considerations unexplored, including contract rolls, leverage and margin, stop placement, and how the position weights translate into futures exposure.

Key ideas

• A short-term moving-average crossover supplies entry and exit signals.
• A longer moving average filters entries to periods when price is in an uptrend.
• The example closes long positions on a downward crossover and does not describe short entries.
• When trading several contracts, the example distributes target weight equally among them.
• The document provides backtest settings but no results demonstrating strategy performance.

Tags

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