Percentage Band Moving Average Trend Strategy

Summary

This strategy sets a channel around an N-period simple moving average. It offsets the center line by upper and lower percentages of the current price, with the document giving 2% as the default for each side. A move above the upper band prompts a short, while a move below the lower band prompts a long. The description also discusses restricting trading to selected calendar dates or months.

The channel width scales with price, but the document does not provide measured backtest results to establish an edge or show how the method behaves across assets. Its stated limitations include moving-average lag, sensitivity to the band percentages, and missed moves outside selected dates. It suggests evaluating different lengths and percentages, using volume as a signal filter, and adapting calendar rules to the instrument. The supplied strategy code shows long entries and exits, so the written description's short-side rule is not clearly implemented there.

Key ideas

• The center line is an N-period simple moving average, and each band is offset by a percentage of current price.
• The written rules call for short entries above the upper band and long entries below the lower band.
• The percentage offsets scale the channel with the price level.
• Moving-average lag and band settings can affect signal timing and false-signal frequency.
• Calendar filters can exclude noise but may also omit trends outside the selected period.

Tags

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