A Long-Only S&P 500 Strategy Using Moving-Average Conditions

Summary

The document describes a long-only S&P 500 trading system built from two simple moving averages. It enters when the two-period average from one day earlier exceeds the current two-period average, the average from ten days earlier exceeds its value from eleven days earlier, and the close is above the seven-period average. The example sets position size to ten contracts, disables order accumulation, preloads 200 bars, and places a fixed 100-point profit-loss stop. It exits when the first moving-average condition no longer holds.

The document provides rules and platform code but no backtest results, benchmark comparison, sample period, transaction-cost assumptions, or risk-adjusted performance evidence. The title calls it a two-day buy-and-hold approach, although the stated rules describe conditional entries and exits rather than uninterrupted holding. The source also says the code was adapted from an online baseline. Its usefulness is therefore as a strategy specification to investigate, not as evidence that the approach is profitable or robust.

Key ideas

• The system enters long when three moving-average and price conditions are simultaneously satisfied.
• It exits when the prior-day two-period average no longer exceeds the current value.
• The example uses ten contracts and a fixed 100-point stop setting.
• No performance data or testing assumptions are supplied.

Tags

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