Moving Average Crossover Strategy and Quantitative Development Workflow

Summary

The note translates a familiar trend-following approach into rules: buy when a short moving average crosses above a longer one, then use a volatility-based trailing stop derived from a rolling standard deviation. The stop can move upward as its calculated level rises, and the position is sold if price falls through the recorded stop. It names both simple and exponential moving averages but does not specify their periods, the standard deviation window, or the multiplier.

It also outlines a strategy-development sequence: research factors, select a model, backtest and adjust factors, tune parameters, evaluate across different time periods with walk-forward testing, try the strategy with a small amount of capital, and review the results. The document is a brief exercise response rather than a tested strategy report. It gives no market, performance data, entry execution details, or risk controls beyond the trailing stop, so the rules need further specification and validation before practical use.

Key ideas

• A short moving average crossing above a longer moving average is treated as a buy signal.
• The proposed trailing stop is based on a rolling standard deviation multiplied by a chosen factor.
• The stop is raised when its calculated level exceeds the previously recorded stop.
• The development workflow includes factor research, backtesting, parameter tuning, walk-forward checks, and a small live trial.
• The note provides no empirical results or complete parameter settings.

Tags

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