Comparing Single, Dual, and Triple Moving-Average Trading Rules
Summary
This tutorial compares several moving-average trading rules using daily commodity futures data. It starts with a single-average rule that trades when price crosses its average, then shows dual-average crossovers, adds conditions requiring the averages to have risen or fallen over recent periods, and extends the idea to three averages. It also presents a difference-based rule built from exponential averages, a smoothed signal, and a price-direction filter. These variants illustrate how trend alignment and confirmation filters can reduce repeated short-term signals.
The article includes backtest charts and qualitative observations: the unfiltered single-average result appears attractive before costs but is said to fare poorly after slippage and commissions; a basic dual-average version is described as unsatisfactory, while a filtered variant is reported as better. The excerpt gives no detailed performance statistics or validation across markets and periods. The results therefore serve as examples of strategy iteration, not evidence that the filters reliably improve live trading outcomes.
Key ideas
- A single moving-average rule trades when price crosses its average, while dual-average rules trade on crossovers.
- Requiring short and long averages to move in the signal direction adds confirmation filters.
- A difference of exponential averages can be smoothed and compared with a signal line, with price direction as an extra condition.
- Three averages add trend alignment conditions across short, medium, and long horizons.
- The article warns that costs can undermine simple rules, and its chart-based examples do not establish robust performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.