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1992issue C081-5

A moving-average slope filter for crossover signals

A moving-average-crossover is a reversal signal that goes long when price crosses above a chosen average and short when price crosses below it. A separate slope-measure of recent average values can serve as a trend-filter, permitting that same crossover when the average is steep and blocking it when the average is flat.

  • Keep the moving-average-crossover as the reversal signal and add a trend-filter so a slope-measure can permit or block that signal.
  • A short stretch of a moving average can be treated as nearly linear, so the standard deviation of those recent average values is small when the slope is shallow and large when the slope is steep.
  • Moving-average length sets how quickly the slope filter cycles. Lookback length sets how smooth the filter is.
  • Relative to an ungated crossover, the slope gate delayed some entries and was designed to skip signals that would have fired during congestion.
Entries in this reading3 entries
Current trackMoving-average crossover108 readingsTrend filter137 readingsMoving average449 readings

Two separate jobs

A moving-average is a smoothed series of ordered prices that reduces day-to-day noise so direction can be read as price standing above or below the average. A moving-average-crossover is a reversal signal that goes long when price crosses above a chosen average and goes short when price crosses below it.

A trend-filter is a second quantitative condition that permits or blocks the crossover so entries are more likely when the average is sloping with authority and less likely when it is flat. The archive keeps those jobs distinct rather than folding them into a single extra line.

A slope-measure from recent average values

A short stretch of a moving average can be treated as nearly linear, so the standard deviation of those recent average values is small when the slope is shallow and large when the slope is steep. That spread is the slope-measure, a stand-in for how steep the stretch is.

A trend filter can be defined as the standard deviation of the last x readings of a y-period moving average, rising when price is trending with more authority and falling when price is range-bound.

Lookback is the number of recent average readings used to compute the slope-measure. A longer lookback makes the filter smoother, while the average length itself sets how quickly the filter cycles.

An illustrated construction

One illustrated construction used an eight-bar standard deviation of a 21-bar simple moving average of closing prices. The same pair can be built in a spreadsheet from dates, closes, the 21-day average, and the eight-value standard deviation.

Changing the moving-average length changes how quickly that slope filter cycles. Changing the lookback used for the standard deviation changes how smooth the filter is.

S&P 500 trend analysis indicator, May–November 1989

White’s trend analysis indicator on the daily S&P 500 from late May through mid-November 1989. It is the eight-session standard deviation of a 21-day simple moving average, so the line climbs toward 2 when that average steepens and slumps toward 0.2 in congestion — the slope quality later used to allow or block 26-day crossover trades. Levels were read from the printed MetaStock pane in Figure 1, not from a numeric table, and are therefore approximate.
White’s trend analysis indicator on the daily S&P 500 from late May through mid-November 1989. It is the eight-session standard deviation of a 21-day simple moving average, so the line climbs toward 2 when that average steepens and slumps toward 0.2 in congestion — the slope quality later used to allow or block 26-day crossover trades. Levels were read from the printed MetaStock pane in Figure 1, not from a numeric table, and are therefore approximate.S&P 500 · daily · 1989-05-22T00:00:00.000Z to 1989-11-17T00:00:00.000Z

Source fixes TAI at a 21-bar simple moving average with an 8-bar lookback (MetaStock: std(mov(c,21,s),8)). Digitized by eye from the raster; treat readings as roughly ±0.1 index point.

The unfiltered crossover

The unfiltered comparison rule bought when closing price crossed above a 26-bar moving average and sold when it crossed below. The rule was applied to 1,440 daily bars of a broad equity index, omitting commission and interest for clarity.

The gated crossover

The gated rule allowed that same 26-bar crossover only when a four-bar lookback of a 38-bar moving average stood above a ten-bar lookback of the same 38-bar average.

The intended reading is that a steeper recent slope than a longer slope window marks a market beginning to move with more authority, a condition more likely after a mature trendless stretch.

Relative to the ungated 26-bar crossover, the slope gate delayed some entries and was designed to skip signals that would have fired during congestion.

Editorial reading

TradersWeek editorial: treat the crossover as a directional hypothesis and the slope of an average as a separate permission switch. Keep the baseline rule intact, add one explicit trend-quality gate, and judge the combination by when trades are allowed rather than by how clever the extra line looks.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
11 of 57 in the Moving-average crossover track
19921-10 pp.Next on Moving-average crossoverOccupancy and split-sample tests for average crossoversRegime occupancy scores every week spent in a bullish or bearish stance after a moving-average-crossover, not only the week the lines meet.
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 year1992115 readings
All 108 readings tagged Moving-average crossover
Also on Moving-average crossover5 readings
1992Confirming currency-fund trends with a crossover and a filter1998Two-group exponential average compression as a trend filter2004Two-average trend filters as a classroom critique of indicator stacking1998Constructing r-squared trend filters with dual lookbacks2000Building a vertical-horizontal filter to gate trend signals