Intraday Dual Moving Average Crossovers with Time Limits and Exits

Summary

This strategy uses 10-period and 25-period simple moving averages to signal long entries when the fast average crosses above the slow one and short entries on a downward cross. It restricts entries to 08:30–15:00, closes positions at 15:00, and specifies fixed tick-based stop-loss and take-profit levels with a default quantity of two. The document also proposes ATR-based exits, trend filters, trailing stops, and risk-based position sizing as possible improvements.

The document provides the rules and source code, but no performance results. Its discussion identifies familiar limitations of crossover systems, including lag and false signals in sideways markets, and notes that fixed stops and fixed quantities do not adapt to volatility or account risk. There is also a mismatch in the exit logic: the code sets stop and target prices as entry price minus and plus ticks for both long and short trades, so the described symmetric risk controls may not be implemented correctly for shorts. The stated time-window condition also deserves verification across the intended market’s clock and session.

Key ideas

• A fast 10-period SMA crossing a slow 25-period SMA generates directional entry signals.
• Entries are restricted to a stated intraday window, with positions scheduled to close at 15:00.
• Fixed tick stops, targets, and a default quantity define the documented risk controls.
• Moving average lag can produce late entries and repeated false signals in sideways markets.
• The source’s stop and target calculations may not apply correctly to short positions.

Tags

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