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

King’s College London - King's Business School; Knot Analytics Ltd

Dimitrios D. Thomakos

University of Athens, Department of Business Administration

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)

King’s College London - King's Business School ( email )

150 Stamford Street
London, SE1 9NH
United Kingdom

Knot Analytics Ltd ( email )

Lytchett House, 13 Freeland Park
Wareham Road
Poole, BH16 6FA
United Kingdom

Dimitrios D. Thomakos

University of Athens, Department of Business Administration ( email )

Athens
Greece

HOME PAGE: http://ba.uoa.gr/

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