Strategies · Library · Stocks
§3.13Trend
Three moving averages
Require three moving averages of increasing length to be stacked in order before entering, to filter false signals. Long when short is above medium is above long; exit when the short falls under the medium.
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
- Ordering of three moving averages, for example 3, 10 and 21 days.
- Entry and exit
- Enter when all three line up; exit when the shortest drops under the middle one.
- Sizing
- One position per stock, equal size.
How it fails
- Slow to enter
- Few trades in choppy markets
- Fits past data easily
Data it needs
- daily prices
Daily closes are enough.
How ARCANE uses it
A Call on a steady rise can cite the stacked-average state as supporting evidence.
Builds in the symphony builder. An If with ALL of two comparisons expresses the stack; exit rule is looser than the book's.
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, §3.13, p. 52 of the SSRN version. Described in our words. Trend is ARCANE’s filing, not the book’s.