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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 crossover108 readingsExponential smoothing117 readingsRelative Strength Index186 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 track
19961-1 pp.Next on Moving-average crossoverCurrency 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 filters682 readingsBy year199575 readings
All 108 readings tagged Moving-average crossover
Also on Moving-average crossover5 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