Moving Average Crossover Rules and a Quant Strategy Workflow

Summary

The document turns a discretionary trading approach into explicit entry and exit rules. A long position is opened when the 5-day moving average crosses above the 20-day average, the 14-period RSI is below 70, and price is above the 60-day average. The position is closed if the averages cross down, price falls 8% from its post-entry high, or it has been held for more than 15 trading days with a gain below 3%.

It also outlines a high-level strategy development sequence: select assets, define input features, allocate positions, extract data, run a high-performance backtest, and move to live trading. The document offers no market, instrument, sizing, execution, or risk details, and provides no backtest evidence. These rules are a brief example of formalizing a method, not evidence that the strategy is profitable or ready for deployment.

Key ideas

• A long entry requires a bullish 5-day and 20-day moving average crossover, RSI below 70, and price above its 60-day average.
• An exit is triggered by a bearish crossover, an 8% drawdown from the post-entry high, or a time-based condition with limited gains.
• The proposed strategy workflow runs from asset selection and feature definition through allocation, data preparation, backtesting, and live operation.
• The document gives no performance results or implementation details for the example rules.

Tags

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