Moving-Average Deviation Strategy With Rebound and Pullback Triggers

Summary

The document outlines a single-asset strategy based on the average of 30-day and 72-day moving averages. It treats a close below 80% of that average as a deeply discounted condition, then waits for a 5% rebound from the triggering close before buying. For an open position, it looks for a close above 115% of the average and then waits for a 6% pullback from the triggering close before selling. The example applies the rules to historical price data over a stated date range and tracks cash proceeds and purchase costs in a simple profit variable.

The material does not report actual strategy returns or compare them with a benchmark. Its nested loops wait forward from each trigger, and the example’s accounting omits position size, fees, dividends, and other portfolio constraints. It also does not define what happens if a rebound or pullback never occurs, so the code should not be treated as a complete or validated backtest.

Key ideas

• The reference price is the mean of 30-day and 72-day moving averages.
• A close below 80% of the reference starts a wait for a 5% rebound before entry.
• A close above 115% of the reference starts a wait for a 6% pullback before exit.
• The example records purchase costs and sale proceeds but omits position sizing and trading costs.
• No performance results or benchmark comparison are provided.

Tags

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