Onset and exit from one average directional index

A single reading for both sides

The mechanical trading system uses a 14-period average directional index as the sole reading for both the long entry and the exit. That reading is treated as a measure of trend strength and trend onset, not as a signal of whether the trend is up or down.

The locked entry and exit

The rule-based entry is defined as a 14-period reading below 21 that is also higher than its previous value. Here 21 is the trend onset threshold, the ceiling below which a rising strength reading is treated as the start of a new trend.

The trend exhaustion exit is defined as the 14-period reading crossing 35. That higher ceiling was chosen because the reading is described as normally moving between 20 and 40. The stated procedure includes a cost of 10 points per contract.

How exposure is changed

Because the reading can linger below 20 and print several upturns, a multiple-entry stack keeps the same thresholds but allows additional contracts in the same direction.

A capital-constrained variant tightens the entry to a reading below 15 and limits concurrent contracts to one or five. That position cap is an explicit limit on concurrent contracts. It shrinks capital demand without changing the indicator rules.

Markets used for the same pair

The same entry-and-exit pair is examined on more than one major equity index and on a single stock, then reapplied on a longer sample beginning in 1983.