Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence
Emerging Markets Finance and Trade, Vol. 52, Iss. 10, 2434-2450, 2016
28 Pages Posted: 5 Dec 2019
Date Written: August 26, 2015
This paper examines the profitability of dual moving average crossover (DMAC) trading strategies in the Russian stock market over the 2003–2012 period. It contributes to the existing technical analysis (TA) literature by testing, for the first time, the applicability of ordered weighted moving averages (OWMA) as an alternative calculation basis for determining DMACs. In addition, this paper provides the first comprehensive performance comparison of DMAC trading rules in the stock market that is known as one of the most volatile markets in the world. The results show that the best trading strategies of the in-sample period can also outperform their benchmark portfolio during the subsequent out-of-sample period. Moreover, the out-performance of the best DMAC strategies is mostly attributable to their superior performance during bearish periods and, particularly, during stock market crashes.
Keywords: Technical Analysis, Moving Average, Ordered Weighted Average, Trading Rules, Portfolio Performance, Market Efficiency, Quantifier Guided Aggregation
JEL Classification: G11, G14, G17
Suggested Citation: Suggested Citation