An Improved Moving Average Technical Trading Rule
quantf research; Queen's University Management School
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
June 1, 2014
Quantf Research Working Paper Series No. WP01/2014
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: 32
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
Date posted: September 13, 2011 ; Last revised: June 2, 2014
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.265 seconds