Quantf Research Working Paper Series No. WP01/2014
32 Pages Posted: 13 Sep 2011 Last revised: 2 Jun 2014
Date Written: June 1, 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.
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
Suggested Citation: 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: https://ssrn.com/abstract=1926376 or http://dx.doi.org/10.2139/ssrn.1926376