HK&US Quant Strategy

Dual Moving Average Crossover Strategy

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The Dual Moving Average Crossover Strategy is a popular trend-following trading strategy used in financial markets. It involves two moving averages: a short-term moving average and a long-term moving average. Here's a brief overview of how it works:

  1. Moving Averages: The strategy relies on two types of moving averages:
    • Short-Term Moving Average (STMA): This is typically calculated over a shorter period (e.g., 10 or 20 days) and reacts quickly to price changes.
    • Long-Term Moving Average (LTMA): This is calculated over a longer period (e.g., 50 or 200 days) and reacts more slowly to price changes.
  2. Entry Signals:
    • Buy Signal: When the STMA crosses above the LTMA, it is considered a bullish signal, indicating that the asset's price may be starting an upward trend.
    • Sell Signal: Conversely, when the STMA crosses below the LTMA, it is seen as a bearish signal, suggesting that the asset's price may be starting a downward trend.
  3. Advantages:
    • Simplicity: The strategy is easy to understand and implement.
    • Trend Identification: It helps traders identify and follow trends in the market.
  4. Disadvantages:
    • Lagging Indicator: Moving averages are lagging indicators, which means they may provide signals after a significant price movement has already occurred.
    • Whipsaws: In choppy or sideways markets, the strategy can generate false signals, leading to potential losses.


In the strategy section, find the module "Dual Moving Average Crossover" and drag it onto the canvas. Right-click on the module to expand the properties panel, which provides the following parameters:

  • Start date/start_date: Used to set the start date of the strategy. Example: 2023-01-01.
  • Bind start date to trading date: in simulation and live trading modes, the start date is replaced by the trading date.
  • End date/end_date: Used to set the end date of the strategy. Example: 2023-01-01.
  • Bind end date to trading date: in simulation and live trading modes, the end date is replaced by the trading date.
  • Short Term: short-term moving average period.
  • Long Term: long-term moving average period.
  • Market: The trading market of the chosen strategy.
  • Instrument: The instrument used in the strategy must match the market.
  • Capital Base: initial capital of the strategy.


After adjusting the parameters, right-click on the module and select "运行选中模块" to perform the strategy backtest, and obtain the backtest results.

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