SMA Crossover Entries with Volume Filters and Timed Exits
Summary
The strategy combines fast and slow simple moving average crossovers with a volume filter. A bullish crossover can trigger a long entry when current volume exceeds its moving average; a bearish crossover can trigger a short when volume is below its moving average. The described rules also include percentage-based stop and target levels and a maximum holding period, after which positions are closed. Parameters allow adjustment of the moving average lengths, volume average, exit percentages, and holding limit.
The document explains the intended logic and lists a historical date-range option, but it gives no backtest results or evidence of profitability. There is also a material gap between the description and the supplied code: the date inputs are not used to restrict trading, and the stop and target orders are submitted only when a new entry signal occurs, rather than maintained as continuously updated exits. The approach may lag during reversals, produce whipsaws in ranging markets, and exit trends prematurely at the time limit. Its fixed-percentage exits may also fit changing volatility poorly.
Key ideas
- A fast and slow SMA crossover supplies the directional entry signal.
- Long and short entries use different volume conditions relative to a volume moving average.
- The rules describe percentage-based stop and target levels alongside a maximum holding period.
- The code does not apply its configured date range, and its exit orders are tied to entry signals.
- SMA lag, ranging-market whipsaws, fixed exit levels, and time-based closures are key limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.