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Simulation Setup Latest data: —
Period
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Settings
📖 Lingo & acronyms
10-day SMA
The 10-day simple moving average of daily closes. A 10-day MA entering the band around the 200-week MA marks a fresh dip episode.
20-day SMA
The 20-day simple moving average. The slow side of the 10/20 cross; the Rulebook's risk-off bounce exit.
50-day SMA
A daily exit rule: a confirmed close below it exits the position (after the 5-day minimum hold).
100-day SMA
The default exit rule: a 3-day-confirmed close below the 100-day SMA exits the position.
150-day SMA
A wider daily exit — fewer whipsaws, longer holds; the Rulebook risk-on alternative with the higher win rate.
175-day SMA
Between 150d and 200d; tested in the exit-rule sweep.
200-day SMA
The widest daily exit; also the Rulebook risk-on exit and the monthly regime proxy.
200-week SMA (200W MA)
The strategy's core line: the 200-week moving average. A stock near/below it is a dip candidate; the band around it defines the entry zone.
Band
The zone around the 200-week average: −10% below to +3% above. A 10-day MA entering it opens a dip episode.
Dip (200W dip)
Entry 1: the 10-day MA enters the band, price bounces 3.5% off its lowest close since the dip began, and a stop order fills at trough × 1.035.
Cross (10/20 cross)
Entry 2: the 10-day SMA crosses above the 20-day SMA (10-day rising) while price is above the 200-week MA. Fills the next trading day at close.
Rulebook (regime)
Entry 3: the regime-switched strategy — risk-on takes cross entries with RSI ≥ 55 (excluding Utilities/Healthcare/Real Estate), risk-off takes dip entries with RSI < 50.
Risk-on (bullish)
The S&P close above its 10-month SMA (~200-day) at the previous month-end. The Rulebook's trend-continuation mode.
Risk-off (bearish)
The S&P close below its 10-month SMA. The Rulebook's mean-reversion mode.
Dip: arm exit
For dip entries the SMA exit arms only after a close back above the exit SMA; while unarmed a −10% hard stop and a 40-day time stop protect the position.
RSI (14)
The 14-day Relative Strength Index (Wilder): 0–100 momentum. Above 70 overbought, below 30 oversold. Rulebook gates: ≥ 55 risk-on crosses, < 50 risk-off dips, < 30 capitulation (trailing hold).
Market cap
Shares outstanding × price: Mega ≥$200B, Large $10–200B, Mid $2–10B, Small $250M–2B, Micro below $250M.
ROE
Return on Equity: net income ÷ shareholders' equity. The quality filter requires ≥ 10%.
ROI
Return on Investment: profit or loss as a % of the position's cost basis.
Quality score
A per-signal score from sector, dip depth, market cap, beta and ROE — ranks same-day signals.
Trailing stop
Exits when price falls N% below its peak since entry (15% default; 10/20% variants; the ratchet tightens 15%→10% once +20%).
Time stop
Exits flat/losing positions after N trading days to free capital.
Cross confirm
Requires N consecutive closes above SMA 20 before a cross entry (the whipsaw filter).
Spread costs
The round-trip cost model: spread in basis points per side (commission assumed 0).
Book allocation
Each position sized as current equity ÷ 20; max 20 concurrent positions.
Episode
A dip window: from the 10-day MA entering the band until the signal fires (max 4 weeks).
Episode low
The lowest close since the dip episode began; the buy-stop trails 3.5% above it.
Buy-stop
The resting stop order: episode low × 1.035 (the 3.5% bounce trigger).
Benchmark
The index the portfolio is measured against (S&P 500; TSX Composite for TSX names).
Min hold
The 5-day minimum before an SMA exit can fire (prevents the day-1-4 whipsaws).
Confirm days
The 3 consecutive closes below the exit SMA required to confirm an exit.
Cooldown
The 5-week pause after a signal before the same ticker can fire again.