Market Timing with a Robust Moving Average
21 Pages Posted: 31 May 2015 Last revised: 13 Jun 2015
Date Written: May 30, 2015
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: Suggested Citation