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1995issue C121-7

Explicit exponential weights and binary entry filters

Equal-weighted averages apply the same weight to every bar they include, while exponential averages assign weights from a mathematical formula. A weighting-factor can replace the usual length-to-constant conversion so the weight itself is the input. A relative-strength-index cross and a moving-average-crossover can then share one report if each is written as an entry-filter and read after a named holding-window.

  • A conventional exponential average converts a length into a constant equal to 2 divided by that length plus 1, so that length is not a trailing window of that many bars.
  • A weighting-factor of 0.2 matches a conventional length of 9, and raising the factor pulls the smoother toward current prices.
  • After the first bar, the recursive update multiplies the new price by the factor and the prior smoothed value by one minus the factor.
  • An entry-filter equals one on a signal day and zero otherwise, so a relative-strength-index rule and a moving-average-crossover can be swapped without rewriting the rest of the test.
Entries in this reading3 entries
Current trackMoving-average crossover: the rule, the pair, the whipsaw126 readingsExponential smoothing: alpha, lag and the EMA family182 readingsRelative Strength Index (RSI): how it is built and what the archive does with it261 readings

Write the weight as a factor

Equal-weighted averages apply the same weight to every bar they include, while exponential averages assign weights from a mathematical formula. Exponential-smoothing is a recursive average that applies a stated weight to the newest observation and the complementary weight to the prior smoothed value.

A conventional exponential average converts a length into a constant equal to 2 divided by that length plus 1, so the length input does not mean a trailing window of that many bars. Substituting a decimal factor for that derived constant makes the weight itself the input. That weighting-factor is a decimal input that sets how much of each new price enters the smoother, replacing a length-to-constant conversion. A factor of 0.2 matches a conventional length of 9.

Raising the factor pulls the smoother toward current prices, which is the inverse of raising a length input. After the first bar, the recursive update multiplies the new price by the factor and the prior smoothed value by one minus the factor.

Write each entry as a filter

A relative-strength-index is used here as a long-side entry filter when it crosses upward through a stated threshold. A long-side entry can be defined as the relative-strength-index crossing upward through 30 and then inspected after a 60-day holding-window. A holding-window is a fixed number of sampling intervals after an entry signal over which later outcomes are tabulated.

The same screening layout can count those signals over a 1,000-trading-day lookback and record how many positions were ahead after the chosen hold, plus average percentage advances and declines.

A moving-average-crossover is a signal formed when a shorter average of price crosses a longer average in a specified direction. The same report can test a 10-period average crossing upward through a 50-period average by replacing only the formula that equals 1 on the signal day and 0 otherwise. That entry-filter lets alternative constructions be substituted without rewriting the rest of the test. The 60-day holding-window can be changed, or several holding windows can be checked in one report by adding more formulas.

RSI-30 upcross entries after a 60-day hold

Average 60-day winning and losing percentages for a long taken when RSI rises through 30. The figures are copied from the TechniFilter Plus entry-test table for issues ABY through ACO. ACF and ACC show the largest average wins; ABY and ACN produce the most signals.
Average 60-day winning and losing percentages for a long taken when RSI rises through 30. The figures are copied from the TechniFilter Plus entry-test table for issues ABY through ACO. ACF and ACC show the largest average wins; ABY and ACN produce the most signals.Listed issues ABY–ACO · Daily bars, 60-day hold

The report counts signals over the last 1,000 trading days and marks each long 60 days later. The entry is written as a binary filter so the same sheet can swap in other rules.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
15 of 57 in the Moving-average crossover: the rule, the pair, the whipsaw track
19961-1 pp.Next on Moving-average crossover: the rule, the pair, the whipsawCurrency futures crossover with slope, bond filter, and stopThe same unchanged rule set is applied to yen, Deutschemark, Swiss franc, and British pound futures.
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 fieldIndicators and filters874 readingsBy year1995126 readings
All 126 readings tagged Moving-average crossover: the rule, the pair, the whipsaw
Also on Moving-average crossover: the rule, the pair, the whipsaw5 readings
1988Constructing moving averages: weights, smoothing and crossovers1992Occupancy and split-sample tests for average crossovers1992Three-horizon KST maturity alignment1994Constructing a relative-strength MACD crossover spreadsheet2003Stacked exponential-average retracement entries and extreme stops