|
|
|
|
||||
|
||||
An Improved Moving Average Technical Trading RuleFotis PapailiasQueen's University Belfast - Queen's University Management School Dimitrios D. ThomakosUniversity of Peloponnese - School of Management and Economics September 11, 2011 Abstract: This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The trading behavior and performance from this modified strategy is different from the standard approach with results showing that, on average, the proposed modification increases the cumulative return and the Sharpe ratio of the investor while exhibiting smaller maximum drawdown and smaller drawdown duration than the standard strategy.
Number of Pages in PDF File: 39 Keywords: Dow Jones, ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies JEL Classification: C00, C10, C50, G00, G11, G14, G15, G17 working papers seriesDate posted: September 13, 2011 ; Last revised: October 16, 2011Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.719 seconds
