Single SMA Position Switching with Price Confirmation

Summary

This document presents a position-switching approach built around a simple moving average. It compares a selected price series with the average: readings above it indicate a long position and readings below it indicate a short position, with orders changing when the price crosses the line. The settings allow a chosen data resolution, source price, average length, trigger price, and an option to reverse the signals.

Although the accompanying prose describes a short and long average crossover, the supplied implementation calculates one SMA and compares the trigger price against it. It therefore does not implement the dual-average crossover described in the text. No performance results are provided. The document flags sensitivity to parameter choices, losses from failed signals, and the possibility that a trend reversal will not persist. It suggests testing parameters, adding a trend filter, and using stop-loss controls, but does not specify or validate those enhancements.

Key ideas

• The implementation takes a long position when the trigger price is above one SMA and a short position when it is below.
• Position changes follow price crossings of the average, with an optional setting to reverse the signals.
• The prose describes two moving averages, but the source uses only one, so the two descriptions differ.
• Parameter sensitivity, failed signals, and unsuccessful reversals are identified as risks.

Tags

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