A Modified Moving Average for Financial Trading Algorithms
11 Pages Posted: 5 Aug 2015
Date Written: August 3, 2015
The volatility of security prices often limits the usefulness of straightforward moving averages. Price moving averages rarely reflect reliable estimates of price, and only indicate the proper trend during prolonged bull or bear markets. In this paper, we describe a modified moving average that applied to stocks and bonds is shown to reduce tracking error by 30 to 60 percent and capture significant inflection points with good accuracy.
Keywords: C11, C61, C63
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