Moving-average crossover
Smooth price direction with a rule; accept lag in exchange for clarity.

The idea · in two minutes

Jack uses a short average as a direction gauge, not a crystal ball

Jack calculates 10-day and 30-day closing-price averages. When the short line crosses above the long one, he enters at the next tradable time; a cross below reverses or closes the position.

Rose insists on execution timing: if the signal uses today’s close, the strategy cannot assume a fill at that same close. She also fixes SMA or EMA, always-in-market rules, fees, slippage and dividends.

In a range, the lines can cross repeatedly and incur costs. At a sharp reversal, the average may confirm only after price has moved. Three averages, percentage bands and holding periods change noise and delay, but each rule needs pre-set parameters and out-of-sample testing.

• 短 MA > 長 MAShort average above long average gives a long signal; +1% assumed next-period return would produce +1% gross.
• 短 MA < 長 MAShort average below long average gives a short signal; +1% underlying return would produce −1% gross.
• 扣換倉成本Signal direction times assumed return, less switching cost. This is a scenario input, not observed performance.

Illustrative research examples only. They are not live signals or a recommendation.

The mechanics · payoff and exposure

Compute short and long averages using completed price data, then execute at the next available tradable price.

P is an adjusted closing price and n the window. The signal forms only after data for time t are available and trades at the next tradable time. SMA/EMA initialisation, windows and long/short/flat rules must be stated.

Greeks: the directional intuition

Window length

Measures sensitivity to implied volatility.

Whipsaw

Measures sensitivity to implied volatility.

Execution

Measures sensitivity to implied volatility.

Parameter search

Measures sensitivity to implied volatility.

Compute short and long averages using completed price data, then execute at the next available tradable price.

Practical context · published observations

Moving-average signal: read the record with its caveats.

The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.

沒有使用歷史 OHLCV 或實際成交價。真實策略需要下一可交易價格、股息、停牌、滑價、交易日曆和樣本外資料探勘校正。 Source ↗ · Methodology ↗