High-Low Moving Average Range Crossover Strategy

Summary

This trend-following strategy calculates short- and long-period moving averages separately on price highs and lows. A long signal occurs when the short-period average of lows crosses above the long-period average of highs; a short signal occurs when the short-period average of highs crosses below the long-period average of lows. It closes an opposing position when a reverse signal appears, and uses those same cross conditions as exits. Several moving-average calculation methods and periods are selectable.

The accompanying description claims the paired high-low averages can reduce false signals compared with conventional crossovers, but provides no robust test evidence. It mentions a chart example in a cryptocurrency pair while cautioning that the result may not recur. The strategy can lag during sharp moves and switch positions repeatedly in sideways markets. Instrument-specific testing and parameter selection are necessary, and the script itself does not implement the suggested stop-loss or take-profit controls.

Key ideas

• The strategy uses moving averages of highs and lows at short and long lookbacks.
• Long entries follow an upward cross of the short low average over the long high average.
• Short entries follow a downward cross of the short high average below the long low average.
• Opposite signals close an existing position and can initiate a reverse position.
• The document warns of lag, whipsaws in sideways markets, and the need for instrument-specific evaluation.

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