Engineering Alpha

Engineering Alpha

A Moving Average Crossover Strategy With the Same Lookback Period

Creating a Moving Average Crossover Strategy With One Lookback Period

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Jan 19, 2023
∙ Paid

Generally, when we think about a moving average crossover strategy, we think about two different moving averages with different lookback periods so that it makes sense. This article presents a way of removing that subjective choice and performing the strategy with just one lookback period.

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