Market Timing with a Robust Moving Average

21 Pages Posted: 31 May 2015 Last revised: 13 Jun 2015

Valeriy Zakamulin

University of Agder - School of Business and Law

Date Written: May 30, 2015

Abstract

In this paper we entertain a method of finding the most robust moving average weighting scheme to use for the purpose of timing the market. Robustness of a weighting scheme is defined its ability to generate sustainable performance under all possible market scenarios regardless of the size of the averaging window. The method is illustrated using the long-run historical data on the Standard and Poor's Composite stock price index. We find the most robust moving average weighting scheme, demonstrates its advantages, and discuss its practical implementation.

Keywords: technical analysis, market timing, moving average, robustness

JEL Classification: G11, G17

Suggested Citation

Zakamulin, Valeriy, Market Timing with a Robust Moving Average (May 30, 2015). Available at SSRN: https://ssrn.com/abstract=2612307 or http://dx.doi.org/10.2139/ssrn.2612307

Valeriy Zakamulin (Contact Author)

University of Agder - School of Business and Law ( email )

Service Box 422
Kristiansand, N-4604
Norway
+47 38141039 (Phone)

HOME PAGE: http://vzakamulin.weebly.com/

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