ow let s explain what this code means for the construction of the entries (Figure 3.

1).
The entry is based on a usual moving average system and works as following: you
enter
the market long on the bar where a fast moving average crosses above a slow movi
ng
average and in the same way you go short if the fast moving average crosses belo
w the
slower moving average.
Trend following methods like these are well known to be able to capture huge pro
fits
during long steady trends. The LUXOR entry logic takes this basic idea of such t
rendfollowing methods by just using two simple moving averages as an entry signal ge
nerator.
However it is modified in the following way: an entry after the average crossove
r is only
allowed after a confirmation of the price itself occurs. The crossing of the mov
ing average
alone is not enough to initiate a market position. In case of a long entry you w
ant the
current price to exceed a recent high to enter a trade (Figure 3.1). Analogously
the price
must go below a recent low to trigger a short entry. Please note that we only ex
plain here
the long side in the system code since the short entries are built symmetrically
.
41Trading Systems
Figure 3.1: Entry Logic. The entry is not triggered by the crossing of the two m
oving averages.
Instead, at the crossover bar the high is kept and used as a long entry level. S
hort entries are
taken symmetrically. Chart example was taken from British pound/US dollar, 30 mi
n, FOREX
from 26 Dec 2007. Chart and datafeed from TradeStation