Time-Series Momentum versus Moving Average Trading Rules

45 Pages Posted: 27 Feb 2013 Last revised: 26 Feb 2015

See all articles by Ben R. Marshall

Ben R. Marshall

Massey University - School of Economics and Finance

Nhut (Nick) Hoang Nguyen

Auckland University of Technology

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: December 22, 2014

Abstract

Time-series momentum (TSMOM) and moving average (MA) trading rules are closely related; however there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical results show MA rules frequently give earlier signals leading to meaningful return gains. Both rules perform best outside of large stock series which may explain the puzzle of their popularity with investors yet lack of supportive evidence in academic studies.

Keywords: G11, G12

JEL Classification: Technical analysis, time-series momentum, moving average, return predictability

Suggested Citation

Marshall, Ben R. and Nguyen, Nhut (Nick) Hoang and Visaltanachoti, Nuttawat, Time-Series Momentum versus Moving Average Trading Rules (December 22, 2014). Available at SSRN: https://ssrn.com/abstract=2225551 or http://dx.doi.org/10.2139/ssrn.2225551

Ben R. Marshall (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand
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Nhut (Nick) Hoang Nguyen

Auckland University of Technology ( email )

55 Wellesley St East
Auckland, Auckland 1010
New Zealand
+64 9 921 9999 (Phone)

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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