The purpose of a moving average tool is to give you a sense of how strong your trend is, and, ultimately to serve as a signal. You can run backtests on this stuff and it is gravy ex-post but is terrible ex-ante.
What you really want to do is evaluate the strength of a trend using a Kalman filter and then measure volatility of the price using variance or std. Combining the two is a powerful signal generator. However, you will need to backtest the optimal lookback period, as that changes per stock per volume etc.
What you really want to do is evaluate the strength of a trend using a Kalman filter and then measure volatility of the price using variance or std. Combining the two is a powerful signal generator. However, you will need to backtest the optimal lookback period, as that changes per stock per volume etc.
