Strategies · Library · Stocks
§3.11Trend
Single moving average
Hold a stock while its price is above a moving average and exit, or go short, when it falls below. The average is a trend filter: price staying above it signals an uptrend. Works one stock at a time.
Open in the builderAs the book sets it out, long only.
- Asset class
- Stocks
- Held for
- Weeks
- Data
- ARCANE has the data
- Symphony
- Builds in the symphony builder
The rule
- Signal
- Price compared with a simple or exponential moving average of chosen length.
- Entry and exit
- Buy on the cross above the average; sell on the cross below; check daily.
- Sizing
- One position per stock, equal dollar size; or single position if one stock.
How it fails
- Whipsaws in sideways markets
- Lags at turning points
- Costs from frequent crossings
Data it needs
- daily prices
Daily closes are all that is needed.
How ARCANE uses it
A Call that SPY stays in an uptrend can cite whether it sits above its 200-day average.
Builds in the symphony builder. The trend-ma block holds the asset above its average and a fallback otherwise.
Filed under the trend card
Hold each market in the direction of its own return over the past year, and size every position to the same expected volatility.
A paper plan from this card holds 21 to 252 days, stops at 2× the expected move and uses at most 100% of your risk budget. The card
Source: Kakushadze and Serur (2018), 151 Trading Strategies, §3.11, p. 50 of the SSRN version. Described in our words. Trend is ARCANE’s filing, not the book’s.