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You asked if the quotation used at the beginning of a sentence was proper grammar. The answer is yes. However, the serious error in your sentence is caused by not including the source of this quote.
When using any quote, either in the beginning, middle, or end of a sentence, you must credit the original writer. In your sentence no credit is given to the original writer. Without this information, as the reader of "Three crosses on the horizon" refers to Jesus's crucifixion, I ask myself:
1. Where does this quote appear? In a particular poem or a piece of literature? (Where can a reader go to find this same quote?), and
2. Who originally said this?
I also wonder if the reference to Jesus's crucifixion is your own thinking/opinion.
By providing the answer to these questions your sentence structure will sound better, and be technically correct. The placement of the quote in the sentence will not matter.
Here are some examples that answer the main questions, add much clarity, and are demonstrate your awareness of a professional writing style.
(BEGINNING OF SENTENCE) "Three crosses on the horizon" is used by (author) in (piece of literature) to refer to Jesus's crucifixion.
*(MIDDLE OF SENTENCE) The phrase "Three crosses on the horizon," that appears in (author's name) in (piece of literature) refers to Jesus's crucifixion.
* (END OF SENTENCE) In my opinion, (Author) refers to Jesus's crucifixion, when using the phrase, "Three crosses on the horizon."
All sentences use correct grammar. However, one of the placements might sound better than the two others.
If you are a college student or graduate student, your professors will likely ask you to include a reference section at the end of your paper. The book you found the quote in would appear in your reference section. In this circumstance, your quote needs to be cited correctly in parentheses immediately following the last word in your quote:
(author's last name, copyright date of the literature, and page number).
While it is not grammatically incorrect to begin a sentence with a quotation, it is rather difficult to incorporate that quotation smoothly into your own writing if you use it to begin a sentence, and that is a key skill that AP readers and your research writing teachers look for. Quotes should not disrupt the fluidity of your writing. So, what you might want to try to do is either provide a lead-in phrase such as I've demonstrated below, or make sure that you have enough information in the sentence before the quotation so that it flows well within the paragraph. Here is an example of a lead-in phrase/clause:
The author's phrase "three crosses on the horizon" provides yet another allusion to the crucifixion of Jesus.
It does not violate any grammar rules to open with a sentence. Often times, it makes for a very good lead thought and can help to invite the reader into the piece. In your particular example, I think that a good opening could be, "The quote, 'Three crosses on the horizon,' refers to the crucifixion of Jesus." This might be a nice way to utilize a quote without merely opening with it. The use of the terms, "The quote..." is a nice way to use a quote to open a paragraph without having to do so. I think that it is good to reference that the use of a quote is infact someone else's words as it helps to bring a sense of unity and connection to your own work.
Of course, you can start a sentence with a quote. As long as the quote is grammatically correct you can use it. The real question is one of style. Therefore, the question should be, can I start a sentence or paper with a quote? The answer is yes, but you would need a good reason to do this. If you have a good reason, then there is no problem with starting with a quote. I should also say that you can even start a sentence with incorrect grammar if you like, as long as it is contained in your sentence. Let me give you an example.
"water give me, now, no water for two days," said the foreigner with a raspy voice.
While it is not grammatically incorrect to start a sentence with a quote, you should always be careful about when you introduce quotes in your writing. Whenever a teacher or professor has been kind enough to give a few tips on how he or she will grade a paper, something that always comes up is how none of them like seeing a quote at the start of a paper or the start of an individual paragraph. That is not to say you cannot have an opening sentence containing a quote, but rather that the quotation should be framed. If your example sentence was at the opening of a paper or the start of a new paragraph, it would be advisable to lead into it, perhaps by stating from where you are borrowing the quote.
"When [author] wrote in [title of work] "Three crosses on the horizon," (s)he was referencing the crucifixion of Jesus."
Now, considering how a previous post mentioned you can feel free to start a paper with a quote as long as you have a valid reason for it, I would like to point out that it is always a good idea to talk to whoever might be in charge of looking over your paper about such stylistic choices. Perhaps all of my professors have just been sticklers, but it is better to figure out such preferences before you get the paper back and discover you made the wrong call.
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