Abstract

http://ssrn.com/abstract=1926376
 
 

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An Improved Moving Average Technical Trading Rule


Fotis Papailias


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

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: 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

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Date posted: September 13, 2011 ; Last revised: June 2, 2014

Suggested Citation

Papailias, Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical Trading Rule (June 1, 2014). Quantf Research Working Paper Series No. WP01/2014. Available at SSRN: http://ssrn.com/abstract=1926376 or http://dx.doi.org/10.2139/ssrn.1926376

Contact Information

Fotis Papailias (Contact Author)
quantf research ( email )
Belfast
United Kingdom
HOME PAGE: http://www.quantf.com
Queen's University Management School ( email )
Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom
HOME PAGE: http://www.quantf.com
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics ( email )
Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)
HOME PAGE: http://econ.uop.gr/~thomakos
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