A Modified Moving Average for Financial Trading Algorithms

11 Pages Posted: 5 Aug 2015

See all articles by Patrick Beaudan

Patrick Beaudan

Northern Trust Corporation; Emotomy

Date Written: August 3, 2015

Abstract

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

Suggested Citation

Beaudan, Patrick, A Modified Moving Average for Financial Trading Algorithms (August 3, 2015). Available at SSRN: https://ssrn.com/abstract=2639483 or http://dx.doi.org/10.2139/ssrn.2639483

Patrick Beaudan (Contact Author)

Northern Trust Corporation ( email )

50 South LaSalle Street
Chicago, IL 60603
United States
415 839 5239 (Phone)

Emotomy ( email )

580 California Street
San Francisco, CA 94104
United States

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

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