Strategies · Library · Stocks
§3.12Trend
Two moving averages
Hold while a short moving average is above a longer one, exit or go short when it falls below. An optional stop closes a long if the price drops a few percent in a day, without waiting for the cross.
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
- Short moving average (for example 10 days) versus long moving average (for example 30 days).
- Entry and exit
- Buy when the short average crosses above; sell on the reverse cross; optional daily-drop stop.
- Sizing
- One position per stock, equal size.
How it fails
- Whipsaws in ranges
- Late entries and exits
- Stop level is arbitrary
Data it needs
- daily prices
Daily closes are enough.
How ARCANE uses it
A Call on trend persistence in an index can cite the crossover state.
Builds in the symphony builder. The ma-crossover block expresses it; the one-day stop is dropped.
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, §3.12, p. 51 of the SSRN version. Described in our words. Trend is ARCANE’s filing, not the book’s.