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

See all articles by Pasi Luukka

Pasi Luukka

Lappeenranta University of Technology (LUT)

Eero Pätäri

American University of Sharjah - School of Business and Management

Elena Fedorova

Lappeenranta University of Technology, School of Business

Tatiana Garanina

Vaasan yliopisto (University of Vaasa); Saint Petersburg State University

Date Written: August 26, 2015

Abstract

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

Luukka, Pasi and Pätäri, Eero and Fedorova, Elena and Garanina, Tatiana, Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence (August 26, 2015). Emerging Markets Finance and Trade, Vol. 52, Iss. 10, 2434-2450, 2016, Available at SSRN: https://ssrn.com/abstract=3490009 or http://dx.doi.org/10.2139/ssrn.3490009

Pasi Luukka

Lappeenranta University of Technology (LUT) ( email )

Lappeenranta
Finland

Eero Pätäri (Contact Author)

American University of Sharjah - School of Business and Management ( email )

P.O. Box 26666
Sharjah
United Arab Emirates

Elena Fedorova

Lappeenranta University of Technology, School of Business ( email )

P.O. Box 20
Lappeenranta, 53851
Finland
+358503226538 (Phone)
+358294463246 (Fax)

HOME PAGE: http://www.lut.fi/

Tatiana Garanina

Vaasan yliopisto (University of Vaasa) ( email )

P.O. Box 700
P.O. Box 700
Vaasa, FI-65101
Finland

Saint Petersburg State University ( email )

7-9, Universitetskaya nab.
Saint Petersburg, 199034
Russia

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