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2013issue C1257-60

A three-average swing and breakout case study

A swing-trading case study enters only after a long-horizon moving-average already defines direction and price then breaks a short-horizon average of highs or lows. The opposite side of that channel is the channel-stop. Historical futures and stock-list files also record short rules being commented out after that side reduced results in sample.

  • A swing-trading entry waits for a short-horizon breakout only when a longer-horizon moving-average already defines direction.
  • The breakout-system threshold is a short-horizon average of highs or lows, and the opposite extreme becomes the channel-stop once a position is open.
  • The trend-filter is the long-horizon exponential average that must already stand on the same side of price before a channel breakout can become an entry.
  • A futures workflow optimized those averages with the breakout add-on held at zero, then commented the short rules out of the published code file after that side reduced results.
Entries in this reading3 entries
Current trackSwing trading44 readingsBreakout system48 readingsMoving average449 readings

What the procedure does

The case-study procedure is a swing-trading rule set built from three moving-average pieces. A long-horizon exponential average is the trend-filter. Two short-horizon simple averages, one of highs and one of lows, form a channel. A breakout-system signal can fire only when price crosses that channel and the trend-filter already agrees.

Editorial reading: TradersWeek treats this as a single testable procedure. One trend-filter, one channel breakout, and one channel-stop are coded together, and the historical files also document a habit of disabling the side that fails in sample.

Entry, exit, and the converse short

The procedure enters long only when the prior close is already above a 50-period exponential average and price then breaks above a five-period simple average of daily highs.

Once long, the same procedure exits when price closes below the five-period simple average of daily lows. The short-horizon channel is both the entry trigger and the trailing stop. After a long is open, that trailing level is the short-horizon average of lows, the channel-stop.

Short entries and cover exits are defined as the converse of the long rules. A short needs a close below the short-horizon average of lows, with the long-horizon average already confirming the down side.

Futures parameters and the disabled short side

A futures implementation optimized an exponential-average length used as a trend-filter together with a simple-average length of highs and lows, while holding the breakout add-on at zero.

In that same 1982 to 2013 S&P futures simulation, short-side rules reduced results and most tested parameter pairs produced a negative profit, so the short rules were commented out of the published code file.

The published long-side parameter choice from that optimization was an exponential-average length of 250, a high/low simple-average length of 20, and a breakout amount of 0.

Stock-list comparison and coded inputs

A stock-list implementation compared equity curves of the original three-indicator swing rules against a modified version on the NASDAQ 100 universe from 5 January 2000 through 9 October 2013.

The coded inputs include a 50-period exponential average, a 5-period simple average, a 200-period long-term exponential average, a 10-period average true range, and optional NDX-based averages used as additional filters.

A later recast of the same averages

Independent platform notes recast the same three averages as a momentum/breakout channel. Two five-period high/low averages form the channel and a 50-period average sets trend direction. Those notes include a plotted four-hour EUR/JPY example.

Citigroup equity under the three-average swing

A trader sees a 100,000-dollar test account climb to a mid-2013 peak near 120,000 dollars, then give back a large share of that late run and finish near 109,500 dollars after 47 trades and a 9.7 percent maximum drawdown. The path was read off the published Trading Blox log-scale equity plot; the printed end balance of 109,465.90 dollars anchors the last point.
A trader sees a 100,000-dollar test account climb to a mid-2013 peak near 120,000 dollars, then give back a large share of that late run and finish near 109,500 dollars after 47 trades and a 9.7 percent maximum drawdown. The path was read off the published Trading Blox log-scale equity plot; the printed end balance of 109,465.90 dollars anchors the last point.Citigroup · Daily · 2012-02-01T00:00:00.000Z to 2013-10-31T00:00:00.000Z

The vendor test used Citigroup from January 2012 through September 2013 and risked 1 percent of equity per trade. The published figure is a log-scale raster, so dates and dollar readings between labeled ticks are approximate.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
15 of 35 in the Swing trading track
201361-62 pp.Next on Swing tradingConstructing swing trades with a fifty-day average and a five-bar exponential averageLong trades are allowed only in uptrends and short trades only in downtrends, with trend permission taken from how price sits relative to a 50-day moving average of the close.
All readings on this track · 35 readings
  1. 2001Swing trading with trailing stops and fixed loss exits
  2. 2003Linear regression swing alerts and trailing stops
  3. 2005Range-width gates for swing entries at base edges
  4. 2006Beyond setups: a six-factor trading process
  5. 2007Angle of ascent, chart scale, and style-fit
  6. 2010Stacking a short-horizon oscillator with a moving average and swing hold rules
  7. 2010A weekly contest long treated as one swing procedure
  8. 2011Four-color volume-price states for long-only swing actions
  9. 2012Classify momentum, velocity, or volatility before the swing signal
  10. 2013Swing rules as a portable entry and exit procedure
  11. 2013Constructing paired percent-b and stochastic swing oscillators
  12. 2013Give the fast band line and the slow stochastic complementary jobs
  13. 2013Smoothed percent-b divergences for numbered swing-wave rules
  14. 2013Portable swing rules for candle turns and a 1-2-3 wave count
  15. 2013A three-average swing and breakout case study
  16. 2013Constructing swing trades with a fifty-day average and a five-bar exponential average
  17. 2014From aliasing and dilation to a roofed stochastic swing
  18. 2014Channel width and trend-filter lookback as separate swing-trading choices
  19. 2016Constructing volume-confirmed multiday breakout swings
  20. 2017Constructing swing signals from a volume-weighted average cross
  21. 2017Golden-cross swing entry with a trailing-stop exit
  22. 2017One swing procedure: group leadership first, then a volume-price leave
  23. 2017Four-day green-candle breakout entry as one swing procedure
  24. 2017Swing pivots need a 100-period crossover and a breakout candle
  25. 2017Supply and demand zones as bounded swing maps
  26. 2018Three-bar volume-confirmed swing breakout
  27. 2018Tight stops first on swing breakouts with a range filter
  28. 2018Constructing trend and swing rules from horizon to crossover
  29. 2019Decade-level breakouts as one closed swing procedure
  30. 2019Inverse-pair swing trading with a shared buy-stop
  31. 2019Week-range next-day breakout on bitcoin pairs
  32. 2019Ranking strength before confirming a multi-timeframe breakout
  33. 2019Forty-five-degree multi-week swing breakout as a closed procedure
  34. 2020A dual pending-stop pair as one bitcoin swing construction
  35. 2020High-low activator, directional oscillator, and momentum swing agreement
By fieldTrend and mean reversion93 readingsBy year201398 readings
All 44 readings tagged Swing trading
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