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2012issue C098-9

Sampling unit as a first-class parameter on dual simple moving averages

A printed sell condition that named 50-day and 100-day simple moving averages was later restated so both averages used weekly units of the same counts. The sampling unit, dual-line confirmation, persistence window, and any illustrative duration are separate inputs.

  • A printed sell condition that named 50-day and 100-day simple moving averages was later restated so both averages used weekly sampling units of the same counts.
  • The weekly restatement followed from building both the price series and the averages on weekly bars rather than daily bars.
  • The corrected sell rule required the index to move below both weekly averages and remain below both lines for three weeks; the opposing signal was signal cessation of either clause.
  • A printed reference to remaining below both averages for three months was later identified as an illustrative duration and excluded from the formal rule.
Entries in this reading3 entries
Current trackMoving-average crossover108 readingsRule-based entry174 readingsMoving average449 readings

The same counts on a different sampling unit

A printed sell condition that named 50-day and 100-day simple moving averages was later restated so both averages used weekly units of the same counts.

The weekly restatement followed from building both the price series and the averages on weekly bars rather than daily bars. The sampling unit is the bar interval that defines one step of a moving-average lookback, such as a day versus a week.

Dual-line confirmation and the persistence window

The corrected sell rule required the index to move below both the 50-week and 100-week averages and remain below both lines for three weeks.

The joint stand below both simple moving averages is dual-line confirmation: a filter that requires price to stand on the same side of two averages of different lengths before a signal is accepted. The three-week stay is the persistence window, the minimum number of sampling units a crossed condition must remain in force before the rule fires.

Signal cessation as the opposing signal

The opposing signal was defined as the sell rule stopping, which occurred as soon as either of the two sell requirements was no longer met. That moment is signal cessation: the moment any required clause of a multi-part sell rule fails, which the procedure treats as the opposing signal.

A move back above either the 50-week average or the 100-week average, or above both, was specified as enough to end the bear-market condition.

The sell side required confirmation from both averages, while the reversal side needed a cross of only one of those same averages.

Illustrative duration is not a rule input

A printed reference to remaining below both averages for three months was later identified as an example only and was excluded from the formal rule.

That three-month figure is an illustrative duration, a worked example of how long a condition might last, which is not itself an input to the rule.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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201265-71 pp.Next on Moving-average crossoverConstructing index-ETF entries from volatility-index persistenceA long on the executable fund follows eleven consecutive volatility-index closes below a 50-bar simple moving average; a sell follows eleven consecutive closes above it, typically next bar at market.
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
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