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2005issue C111

Range-gated moving-average crossover construction

The baseline long and short entries fire on a 10-bar close crossover and flatten on a 5-bar average. Two variants keep those rules and accept the crossover only when the absolute close-to-close range is larger, or smaller, than it was on the prior bar.

  • The baseline moving-average-crossover enters long or short when the close finishes on the opposite side of a 10-bar moving-average, and the order is placed at the current close.
  • A range-gate accepts that same crossover only when the latest absolute close-to-close change is larger, or smaller, than the prior bar's change.
  • The baseline and both gated variants reuse the same shared-exit: flatten a long when the close is below a 5-bar moving-average, and flatten a short when the close is above it.
  • Editorial reading: the variants stay comparable because only the range-gate changes; the moving-average lookbacks and flatten rules do not.
Entries in this reading3 entries
Current trackMoving-average crossover108 readingsRule-based entry174 readingsMoving average449 readings

What stays fixed

The construction uses a moving-average, a lookback mean of closes, as the level the close is compared with. Entry is judged against a 10-bar moving-average. Flattening is judged against a 5-bar moving-average.

A moving-average-crossover is the entry condition: a close finishing on the opposite side of the stated 10-bar average from the prior bar.

Baseline long and short entries

The baseline long entry fires when the close is above the 10-bar average after the prior close was below that same average. The order is placed at the current close.

The baseline short entry fires when the close is below the 10-bar average after the prior close was above that same average. The order is placed at the current close.

Shared-exit after entry

An open long is flattened when the close is below the 5-bar average. An open short is flattened when the close is above the 5-bar average.

This shared-exit is the same shorter-average flatten rule applied to both long and short positions. The baseline procedure and both range-gated variants reuse those flatten rules.

Two range-gated variants

A range variable is defined as the absolute difference between the current close and the previous close. A range-gate allows the crossover only when that latest absolute close-to-close change is larger or smaller than the prior bar's change.

One constructed variant accepts the 10-bar crossover only when the range variable is larger than its value on the previous bar.

A second constructed variant accepts the 10-bar crossover only when the range variable is smaller than its value on the previous bar.

What the three procedures share

Each procedure is a rule-based-entry: a complete, testable set of checks for buying, selling, exiting, or standing aside. The 10-bar entry average, the 5-bar flatten rules, and placement of the entry order at the current close stay the same. Only the range-gate differs.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
35 of 57 in the Moving-average crossover track
20071-6 pp.Next on Moving-average crossoverAnticipating a simple-average crossover with a threshold-closeA K-period simple-moving-average can be written from the latest close and the previous (K-1)-period average, so the next-bar pair of averages is determined once the next close is known.
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 year2005104 readings
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