Rising moving average - Trading Software

Rising moving average

Barbecue
2015-08-04 20:25:15

Hello,
what is the best way to check if a moving average is rising ? The problem I'm trying to solve is that even though I buy above a moving average, when I check the trades, some of them have a flat or a declining moving average. I would like to filter out those or even add the declining condition to a sell rule.

Thanks a lot !

QuantShare
2015-08-05 03:09:58

Best Answer

There are several ways to do this. Here are some examples:

sm = sma(20);
rule1 = sm > sm[1]; // SMA higher than previous bar SMA
rule2 = perf(sm, 10) > 0; // SMA increased in the past 10 bars
rule3 = LinearReg_Slope(sm, 10) > 0; // 10 bar linear slope of SMA is positive

Barbecue
2015-08-05 14:44:30

Thanks for the reply !

Any suggestion on which of the three approaches is less CPU intensive during backtesting/optimizations ?

Thanks !

QuantShare
2015-08-06 04:04:48

No one should be CPU intensive. The first one is the fastest one.

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