[SMA_9/21][RSI_14][VOL_SMA_20][1:2_RR][REVERSE_CROSS_EXIT]
Quantitative Strategy & Indicators
Mathematical formulations for Dual SMA Crossover (9/21), RSI 14 momentum oscillator, Volume SMA 20 liquidity confirmation, and 1:2 asymmetric profit brackets.
Indicator Formulations & Smoothing
The quantitative core calculates momentum and trend continuation across standard candlestick series:
MATHEMATICAL INDICATOR FORMULATIONS
Fast SMA(9): SMA_fast(t) = (1/9) * sum(Close(t-i), i=0..8) Slow SMA(21): SMA_slow(t) = (1/21) * sum(Close(t-i), i=0..20) Relative Strength Index (RSI 14): RS = Smoothed Gain / Smoothed Loss, RSI = 100 - (100 / (1 + RS)) Volume Confirmation: Volume(t) >= SMA_vol(20) * minVolumeRatio
Signal Generation Decision Matrix
Every incoming market tick evaluates indicators against strict entry and exit criteria:
| Signal Decision | Quantitative Trigger Conditions | Action Taken |
|---|---|---|
| [BUY] | Golden Cross: SMA(9) > SMA(21) + RSI(14) < 75 + Volume confirmation | Simulates paper order fill at market price |
| [SELL] | Death Cross: SMA(9) < SMA(21) or Take-Profit (+3.0%) / Stop-Loss (-1.5%) hit | Liquidates open paper position and logs PnL |
| [HOLD] | Open position active between brackets or flat trend without crossover | Maintains current portfolio state |
| [SKIP] | Signal generated but rejected by RiskManager ($1,000 cap) or Adaptive Memory | Records skip reason to ledger without trading |
Asymmetric 1:2 Profit Brackets & Liquidation
Dynamic bracket monitoring enforces discipline without manual intervention:
STOP-LOSS (SL)
-1.50%
Entry * 0.985
TAKE-PROFIT (TP)
+3.00%
Entry * 1.030
RISK / REWARD
1 : 2
Positive Expectancy
REVERSE EXIT
Death Cross
Early Protection
Last verified: August 2026•Maintained by Zenth Core