An Improved Moving Average Technical Trading Rule

2011 ◽  
Author(s):  
Fotis Papailias ◽  
Dimitrios D. Thomakos
Keyword(s):  
Moving Average ◽  
Trading Rule ◽  
Technical Trading

An improved moving average technical trading rule

2015 ◽  
Vol 428 ◽  
pp. 458-469 ◽  
Author(s):  
Fotis Papailias ◽  
Dimitrios D. Thomakos
Keyword(s):  
Moving Average ◽  
Trading Rule ◽  
Technical Trading

Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventionen im D-Mark/US-Dollar-Markt

2004 ◽  
Vol 224 (6) ◽  
Author(s):  
Michael Frenkel ◽  
Georg Stadtmann
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rates ◽  
Moving Average ◽  
Trading Rule ◽  
Technical Trading ◽  
Var Analysis ◽  
Us Dollar ◽  
Central Bank Interventions ◽  
The Relationship

SummaryThe paper examines the relationship between central bank interventions in the dollar-deutschmark market and the profitability of technical trading for the period 1979-1992. While previous work on this topic focused on the interventions of the Fed, we include data on Bundesbank interventions and show that there were several similarities. Our analysis yields the result that eliminating days of Fed and Bundesbank interventions causes a simple moving average trading rule to become unprofitable. In addition, we study the dynamics of intra-day exchange rates following and preceding interventions and provide a VAR analysis on the relationship between interventions and the change in the exchange rate. The results suggest that interventions did not cause the high profits of technical trading on intervention days frequently found in other studies.

scholarly journals Detailed study of a moving average trading rule

2018 ◽  
Vol 18 (9) ◽  
pp. 1599-1617 ◽  
Author(s):  
Fernando F. Ferreira ◽  
A. Christian Silva ◽  
Ju-Yi Yen
Keyword(s):  
Moving Average ◽  
Trading Rule

Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study.

2017 ◽  
Vol 11 (1) ◽  
pp. 1-26
Author(s):  
Efstathios Xanthopoulos ◽  
Konstantinos Aravossis ◽  
Spyros Papathanasiou
Keyword(s):  
Stock Exchange ◽  
Statistical Tests ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Trading Strategies ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Greek Crisis ◽  
Athens Stock Exchange

This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.

Sign in / Sign up

Export Citation Format

Share Document