CTA · Core
Dual Moving-Average Crossover
Long when a fast average is above a slow average, short when it is below — the other canonical CTA signal next to breakouts.
Definition
Fast window F, slow window S (20/50, 50/200, 10-month/none). Sign(MA_F − MA_S) is the position. EMA vs SMA changes lag. A price-vs-single-MA rule is a one-line cousin (Faber-style). Whipsaws cluster when F and S braid in a range.
Why it matters
It is continuous (always in) unless you add a band or a filter. Breakouts can be out; a raw cross is not.
Case
2011 risk-on/off months: 20/50 crosses six times in FX. The trend was real at 200 days and fake at 20.
How to read it
F, S, SMA vs EMA, and whether you allow flat. A 10/12 cross is a short-term book pretending to be a slow CTA.
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