Improved Moving Average (IMA) Strategies

Market Technician, Journal of the Society of Technical Analysts, Issue 72, May 2012

6 Pages Posted: 2 Jun 2014

See all articles by Fotis Papailias

Fotis Papailias

Quantf Research; University of London, King's College London, Department of Management

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: May 1, 2012

Abstract

A modified version of, perhaps, the most widely used technical trading strategy – moving averages – is discussed in this article. The suggested approach combines cross-over "buy" signals and a dynamic threshold value which acts as a trailing stop. The trading behaviour and performance achieved using this modified strategy is different to 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 less of a drawdown duration than that obtained by using the standard moving average strategy.

Keywords: Moving average, Trading Rules, Stop loss, Trailing stop

Suggested Citation

Papailias, Fotis and Thomakos, Dimitrios D., Improved Moving Average (IMA) Strategies (May 1, 2012). Market Technician, Journal of the Society of Technical Analysts, Issue 72, May 2012. Available at SSRN: https://ssrn.com/abstract=2444424

Fotis Papailias (Contact Author)

Quantf Research ( email )

London
United Kingdom

HOME PAGE: http://www.quantf.com

University of London, King's College London, Department of Management ( email )

150 Stamford Street
London, SE1 9NN
United Kingdom

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3
Rimini (RN), RN 47900
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
317
rank
92,734
Abstract Views
835
PlumX Metrics