Eight-Day Runs Around a Five-Period Average for Momentum Entries

Summary

This strategy, inspired by Linda Bradford Raschke, uses the five-period simple moving average to identify extended directional runs and trade a reversal back across the average. After at least eight consecutive closes above the average, it enters long when a close falls below it. After at least eight consecutive closes below the average, it enters short when a close rises above it. Positions are closed on the next close across the average in the opposite direction.

The document provides the entry and exit rules in both explanatory text and Pine Script, along with configurable starting capital and commission assumptions. It frames the setup for daily charts and futures momentum, but gives no performance results, market-by-market evaluation, or risk controls such as stop losses and position sizing. The stated rules are therefore a strategy specification, not evidence that the approach is profitable; implementation and testing choices may also affect results.

Key ideas

• The setup counts runs of at least eight closes on one side of a five-period simple moving average.
• A long entry follows an extended run above the average when price closes below it.
• A short entry follows an extended run below the average when price closes above it.
• Positions exit when price closes across the average in the opposing direction.
• The document supplies no performance evidence or explicit stop-loss and position-sizing rules.

Tags

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