trader.strategies.ma_crossover module

Trend following on a moving-average crossover.

Buy the golden cross (short SMA crosses above long SMA); sell the death cross (short SMA crosses below long SMA). Unlike the level-based strategies (rsi_revert, bollinger_revert), the signal here is a transition, so detecting it needs the current bar’s SMAs and the prior bar’s.

class trader.strategies.ma_crossover.MaCrossoverStrategy(id, short_period=10, long_period=30)[source]

Bases: object

Buy when the short SMA crosses above the long SMA; sell on the reverse cross.

A crossover is a change in which average leads, not a level either sits at, so both the current bar and the bar before it need a defined short and long SMA before a cross can be detected.

Parameters:

  • id (str)

  • short_period (int)

  • long_period (int)

id: str
short_period: int
long_period: int
backtestable: ClassVar[bool] = True
warmup_bars()[source]
Return type:

int

evaluate(bars, position)[source]
Parameters:
Return type:

Signal