Skip to main content
Track Moving-average crossover
16 / 57
Search the archiveLibrary
Library

1996issue C101

Currency futures crossover with slope, bond filter, and stop

On four currency futures, a 9-day and 18-day moving-average-crossover is only a buy-alert or sell-alert. A trade is written only after a 6-day slope check, a Treasury-bond cross-market-filter, next-open-execution, and a 2000-dollar stop-loss are stated as separate rules.

  • The same unchanged rule set is applied to yen, Deutschemark, Swiss franc, and British pound futures.
  • A 9-day average crossing the 18-day average is only a buy-alert or sell-alert; it does not place the trade.
  • Entry still requires a 6-day slope check, a bond cross-market-filter, and next-open-execution, each written as its own rule.
  • The position is closed by a 2000-dollar stop-loss from the entry price, or by an adverse recross taken on the next session open.
Entries in this reading3 entries
Current trackMoving-average crossover108 readingsStop-loss order144 readingsMoving average449 readings

One rule set for four currency futures

One rule set is applied without change to four currency futures: the yen, the Deutschemark, the Swiss franc, and the British pound.

The currency indicators are the 6-day, 9-day, and 18-day simple moving averages of each contract's daily close. A moving-average is the mean of a stated run of daily closes, used both as a same-market slope check and as a second-market trend filter.

A crossover is an alert, not a fill

A moving-average-crossover is a change in rank between two simple averages of the same daily close, treated as an alert that names a side rather than as an automatic fill.

A 9-day average crossing above the 18-day average is only a long alert. A cross below is only a short alert. The first long-side condition is a buy-alert. The first short-side condition is a sell-alert.

Slope and bond rules decide permission

A long also requires today's 6-day average to exceed yesterday's 6-day value. A short requires today's 6-day average to be below yesterday's value.

A cross-market-filter allows a currency entry only when a short Treasury-bond average stands on the matching side of a longer bond average. A long is permitted only if the 3-day average of Treasury-bond futures closes above the 25-day average. A short requires the 3-day bond average to close below the 25-day average.

Next-open timing and two exits

When the alert, the 6-day slope check, and the bond filter all pass, the position is taken on the next session's open. Next-open-execution means taking or closing the trade on the following session open after the closing-price conditions are already known.

A stop-loss is a protective close that ends the position as soon as unrealized loss from the entry price reaches a stated dollar amount. Either a long or a short is closed automatically if the position shows a 2000-dollar loss from the entry price.

If the 9-day currency average recrosses the 18-day average against the open trade, the position is closed on the next session's open.

Editorial reading of the construction

Editorial reading: the archive facts describe a historical workflow in which nomination and permission are not the same job. The crossover only names a side. The slope check, the bond filter, next-open timing, and the dollar stop are written as separate rules so a trade does not exist until each one has passed.

Editorial reading: the stop-loss is a pre-priced dollar limit from the entry price, and the adverse recross is a separate next-open close. Nomination, permission, timing, and protection stay distinct so each rule can fail without rewriting the others.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
16 of 57 in the Moving-average crossover track
19961-3 pp.Next on Moving-average crossoverTwo-market average crossover entry with a fixed stopA long rule-based-entry fires only when the traded market’s six-period average is rising, a nine-versus-eighteen moving-average-crossover has occurred, and a second market’s three-period average is above its twenty-five-period average.
All readings on this track · 57 readings
  1. 1988Constructing moving averages: weights, smoothing and crossovers
  2. 1988Constructing breadth and average trend states
  3. 1989Evaluating an always-in-the-market moving-average crossover
  4. 1989Constructing symmetric market-breadth ratio accumulators
  5. 1989Objective crossover tests of Fibonacci wave ratios
  6. 1990Volume-adjusted moving average construction
  7. 1991Constructing a mechanical crossover on a synthetic price series
  8. 1991A two-speed breadth reading for intermediate market direction
  9. 1992A Deutschemark yield map with dual-average and relative-strength timing
  10. 1992Confirming currency-fund trends with a crossover and a filter
  11. 1992A moving-average slope filter for crossover signals
  12. 1992Occupancy and split-sample tests for average crossovers
  13. 1994Gold-mining seasonality and bond-fund duration switching
  14. 1994Price oscillator from two moving averages
  15. 1995Explicit exponential weights and binary entry filters
  16. 1996Currency futures crossover with slope, bond filter, and stop
  17. 1996Two-market average crossover entry with a fixed stop
  18. 1997Construction of a filtered three-average crossover
  19. 1998Two-group exponential average compression as a trend filter
  20. 1998Constructing r-squared trend filters with dual lookbacks
  21. 1998Moving-average length is a habit, not a secret
  22. 1999Solving the close that triggers a moving-average crossover
  23. 2000Kagi yang and yin control versus crossover noise
  24. 2000Constructing simple moving average crossover filters
  25. 2000Building a vertical-horizontal filter to gate trend signals
  26. 2000Two-average crossover as a check on trend following
  27. 2003Stacked exponential-average retracement entries and extreme stops
  28. 2003Evaluating oscillator thresholds against optimized crossovers
  29. 2004Constructing a semicycle trend-quality filter
  30. 2004Commodity subgroups labeled by crossover, support, or convergence
  31. 2004Full-window evaluation of crossover trend systems
  32. 2004Two-average trend filters as a classroom critique of indicator stacking
  33. 2005Three-layer confirmation from a moving-average cross, candles, and Q-stick
  34. 2005Charting put prices beside an equity breakdown
  35. 2005Range-gated moving-average crossover construction
  36. 2007Anticipating a simple-average crossover with a threshold-close
  37. 2007Anticipating moving-average crossovers one bar ahead
  38. 2007Lead-series moving-average crossovers with a stochastic and relative strength index
  39. 2007Next-bar SMA crossover hypotheses from theoretical crossing values
  40. 2007Anticipating a moving-average crossover before confirmation
  41. 2007A three-horizon moving-average stack as a construction problem
  42. 2007Confirming trend with regression slope and r-squared
  43. 2008Constructing a multi-timeframe smoothed crossover
  44. 2008Best-day clusters versus trend filters
  45. 2008Allied markets as a confirmation gate for crossover and breakout signals
  46. 2008Weekly exponential-average crossover as a mechanical trend case study
  47. 2010Evaluating a 200-day crossover as long, short, and stand-aside rules
  48. 2010Read a 10-and-40 trend on two neighboring time frames
  49. 2012Sampling unit as a first-class parameter on dual simple moving averages
  50. 2012Constructing index-ETF entries from volatility-index persistence
  51. 2013Moving-average baselines versus crossover signals
  52. 2013Constructing a typical-price and heikin-ashi crossover as one mechanical procedure
  53. 2016A three-gate checklist for longs after a sharp drop
  54. 2016Weekly inflation-ratio crossover for commodity regimes
  55. 2017Normalized Laguerre zero-axis warning as a two-marker construction
  56. 2019Range-weighted construction of an adaptive exponential moving average
  57. 2020Construct a second-pullback entry after a moving-average crossover
By fieldEntry and exit rules206 readingsBy year199680 readings
All 108 readings tagged Moving-average crossover
Also on Moving-average crossover5 readings
1996Two-market average crossover entry with a fixed stop2003Stacked exponential-average retracement entries and extreme stops2008Constructing a multi-timeframe smoothed crossover2020Couple the slow period to stop-loss and trailing-stop settings1988Constructing moving averages: weights, smoothing and crossovers