2007issue C051-9
Same-session long entry from a moving-average filter
A long-only day procedure uses a 34-period simple moving average of closes as the price filter, then allows a same-session long only when the next open is above that average, below the prior close, and prior-session volume clears a threshold. The position is closed at the same session close.
- A 34-period simple moving average of closes is the lookback used as the price filter.
- A same-session long is allowed only when the next open is above that average, prior-session volume clears a threshold, and the open is below the prior close.
- The long is entered at the session open and closed at the same session close, with no overnight hold.
- The procedure is long-only and specified for one listed equity-index product, so a failed gate means no trade that session.
What the procedure specifies
The archive describes a mechanical trading system: a fully specified long-only day procedure that always exits at the session close. It is intended for one listed equity-index product.
A moving average is a lookback average of closing prices used as a baseline filter for next-session opens. Positions are entered at the session open and closed at the same session close, with no overnight hold.
The price filter
A 34-period simple moving average of closes is the lookback used as the price filter. Entry is allowed only when the next bar open is above that moving average.
Volume, gap, and abstention
A prior-session volume threshold is required before a long may be taken. The next open must also be below the prior close, so the setup is a same-session gap-down above the average.
A rule-based entry takes a same-session long only when the next open is above the average, prior volume clears a threshold, and the open is below the prior close. Editorial interpretation: if any of those conditions fails, the session is skipped.
Same-session exit
When a long is taken, it is entered at the session open and closed at the same session close. The procedure does not hold overnight.
Editorial interpretation: because the exit is fixed at the session close, the remaining test is whether the three entry gates fire and, if they do not, whether the system stays out.
All readings on this track · 14 readings
- 1990Moving-average direction, range penetration, and a dollar stop
- 1990Rally and reaction day signals as a mechanical stock system
- 1991Constructing steppable currency games with stop alerts
- 1995Trading as a business: a case study of preparation and rule-based entry
- 1997Bond timing rules as one testable procedure
- 2000Rule-based moving average commentary as a testable filter
- 2004Constructing a fifteen-bar trend trigger as a next-open system
- 2005State-locked rules for mechanical trading
- 2007Same-session long entry from a moving-average filter
- 2012Liquidity, share count, and stop-trigger costs
- 2012Monthly eight-bar average entry and exit rules
- 2012Constructing a simple moving average filter with fixed crossing rules
- 2014A two-average brick crossover is not yet a trading system
- 2020Reject long-bar entries driven by volatility fear of missing out