Quantifying a Double Moving Average Strategy and Development Workflow

Summary

The note recasts a past trading approach as a daily double moving average strategy, using crossovers as signals. The author reports that this approach produced losses over several consecutive years, offering a cautionary personal outcome rather than a systematic performance study. No moving average lengths, entry or exit details, asset universe, costs, or backtest design are provided, so the result cannot establish how the method behaves under other conditions.

It also outlines a qualitative strategy research process: consider policy breadth, observe sector rotation, track capital activity and industry conditions, then choose a suitable time horizon. This is a high-level sequence of market selection considerations, not an operationally specified strategy. The note gives no evidence that these steps improve performance or explains how to measure them, making it a starting framework that would require definitions and testing before use.

Key ideas

• The example expresses a double moving average strategy using daily data and crossover signals.
• The author reports sustained losses from their use of this method.
• The note proposes examining policy breadth and sector rotation during strategy development.
• It also suggests assessing capital activity, industry conditions, and the intended holding period.
• The development sequence is qualitative and lacks testable definitions or supporting performance evidence.

Tags

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