2017issue C0360-66
Constructing dual-average cross and channel-index filters
Write a dual-average cross as named lookbacks, an exact cross condition, and a stated exit. Keep the opposite cross as a bookkeeping twin, and hold a channel-style oscillator to the same written contract.
- Name the short leg as a 50-bar average and the long leg as a 200-bar average before stating a cross.
- Assemble the death-cross rule as the exact reverse of the golden-cross rule, and state a two-point stop as the buy-back.
- Treat golden-cross and death-cross events as alternating marks in one series, and record them in a spreadsheet that can be checked bar by bar.
- Editorial reading: hold a channel-style oscillator to the same contract of named lookback, exact condition, and stated exit.
Name the average legs and the cross
A moving average is a smoothed series of ordered prices over a stated bar count, used as the short and long legs of an explicit crossover rule. In this construction the short leg is a 50-bar average and the long leg is a 200-bar average.
A golden-cross is a construction in which a shorter-period average moves from below to above a longer-period average. A death-cross is the mirror construction, in which the shorter-period average moves from above to below the longer-period average. The death-cross rule is assembled as the exact reverse of the golden-cross rule.
State the exit beside the signal
Under the death-cross construction, the short average crossing below the long average is the sell condition, and a two-point stop is the stated buy-back condition. A two-point stop is a fixed-distance exit that can be compared with an average-based stop on the same trade path.
On one illustrated path, a two-point trailing stop triggered on 12/13/2016 while a 50-day moving-average stop would have triggered on 01/12/2017.
Keep the opposite cross as a twin
Golden-cross and death-cross events are treated as alternating signals in the same series, so death-cross marks sit between golden-cross marks in the sample list. The worked example enumerates six golden-cross events across a nine-year window. The transaction list used for the worked example contained five or six death-cross signals.
The construction is recorded as a spreadsheet of example transactions so each cross and stop can be inspected bar by bar.
Apply the same contract to a channel-style oscillator
A commodity-channel-index is a channel-style oscillator built from ordered price observations over a stated lookback and sampling interval, framed as an inspectable forecast-style filter. Editorial reading: write that oscillator the same way the dual-average rule is written, with a named lookback, an exact channel condition, and a stated exit, before any later comparison.
All readings on this track · 39 readings
- 1982Three gates on a 1982 pork-belly short
- 1982Scale-free Commodity Channel Index construction
- 1986Constructing a commodity channel index and a regression price channel
- 1987Constructing scaled OHLC matrices for study overlays
- 1987Constructing the commodity channel, average directional, and relative strength indexes on a shared cycle scale
- 1992Eleven-bar commodity channel index from typical price and mean deviation
- 1992Evaluating Commodity Channel Index breakout versus range rules
- 1992Evaluating breakout and CCI rules as complete mechanical procedures
- 1993Constructing stochastic, RSI and CCI inputs for forecasts
- 1993Nested centered channels with a commodity channel index confirmation gate
- 1993Listed-option timing as three separable clocks
- 1994Constructing an eleven-period commodity channel index
- 1994Confirming Elliott wave turns with channels and the commodity channel index
- 1995Commodity Channel Index band rules lag zero-line timing
- 1995Building the commodity channel index from typical price
- 1995Staged reversal rules with commodity channel index and average channels
- 1995Commodity channel index construction from typical price to a smoothed zero line
- 2001Reader tests for unfinished lookback oscillators
- 2002Constructing the commodity channel index from typical price
- 2003Breadth-filtered commodity channel index entry and exit rules
- 2003Constructing the Commodity Channel Index from typical price and scaled deviation
- 2003A shallow, poorly participated advance is an unconfirmed trend
- 2003CCI and RSI parameter defaults as scaling conventions
- 2003A cost and capital audit of a Commodity Channel Index trade engine
- 2003Commodity channel index peak divergence as an exit after twin patterns
- 2004Constructing the Commodity Channel Index from typical price
- 2004Constructing the Commodity Channel Index from typical price and mean deviation
- 2006Building custom indicators from the Commodity Channel Index, a least squares moving average and a rule-based entry
- 2012Confirming breakouts and retracements with CCI, ADX, and averages
- 2012Stacking oscillator lookbacks into a heatmap mosaic
- 2013Constructing a consensus and volatility-normalized value oscillator
- 2013Walk-forward system evaluation with a commodity channel index and chandelier exits
- 2014Dual detrended oscillators and dual Bollinger Band channels
- 2014RSI, CCI, and moving-average trend-filter construction
- 2014Dual RSI, a moving average, and CCI as a confirmation stack
- 2017Constructing dual-average cross and channel-index filters
- 2018Treat CAM as a classification layer before confirmation becomes an entry
- 2018Four-state slope labels gated by a moving average and a commodity channel index
- 2018Deviation-Scaled Moving Average construction from a two-bar difference