Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy

2017 ◽  
Author(s):  
Carlin chun-fai Chu
Keyword(s):  
Moving Average ◽  
Trading Strategy

scholarly journals Various moving average convergence divergence trading strategies: a comparison

2016 ◽  
Vol 13 (2) ◽  
pp. 363-369 ◽  
Author(s):  
Nguyen Hoang Hung
Keyword(s):  
Moving Average ◽  
Predictive Ability ◽  
Trading Strategy ◽  
Trading Strategies ◽  
Trading Cost ◽  
Trading Rules

Some studies published recently (Dejan Eric, 2009; R. Rosillo, 2013; Terence Tai-Leung Chong, 2008; Ülkü and Prodan, 2013) uncover that moving average convergence divergence (MACD) trading rules have predictive ability in many countries. The MACD trading strategies applied by these papers to execute the trading signals are various. This study analyzes the performance of a MACD trading strategy (MACD-4 in the current study), which is applied popularly by practitioners, but was not tested by prior academicians. Furthermore, the author compares the performance of each of the strategies on a group of markets to identify the best one. Before considering the costs, the author finds that the MACD-4 trading strategy has predictive ability. The best performance is MACD strategy applied by Terence Tai-Leung Chong (2008). This strategy is also the most effective one if it is applied in a high trading cost environmentm because the numbers of trades created are the lowest. Especially, the strategy applied by R. Rosillo (2013) is unpredictable in the selected samples

scholarly journals Implementation of Fibonacci Retracements and Exponential Moving Average (EMA) Trading Strategy in Indonesia Stock Exchange

2021 ◽  
Vol 6 (4) ◽  
pp. 402-408
Author(s):  
Lusindah Lusindah ◽  
Erman Sumirat
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Stock Exchange ◽  
Moving Average ◽  
Time Frame ◽  
Trading Strategy ◽  
Individual Investors ◽  
Individual Investor ◽  
Back Testing ◽  
The Individual

Based on KSEI statistic data on March 2021, IDX individual stock market investor is increasing 199% compared to 2018 becoming 4,848,954 number of investors. 56.9% population of the individual investor is having ages that less than 30 years. In the period where IDX was bullish in November 2020 - January 2021, there is a phenomenon where stocks influencers appeared in social media and impacted to the stock price movement after the announcement is done by the influencer. In contrary, during bearish and sideways condition, those influencers were gone and changed with bad news that went viral where many individual investors are lost their capital in IDX. They lose money since they are gambling in the stock market without any analysis and no establishment of trading plan. This research is aimed as a strategy to individual investors in IDX to implement trading strategy based on Fibonacci retracements and projections, EMA lines, trendlines, stochastic, and volume. Back testing is conducted in IDX SMC Liquid index constituents during January 2018 until December 2020 period. By implementing this trading strategy, return generated is 164% for 3 years trading time frame. Author also found that this trading strategy is effective in bullish trend condition especially for individual investors that have long position.

scholarly journals A cointegrating stock trading strategy: application to listed tanker shipping companies

2019 ◽  
Vol 4 (1) ◽  
Author(s):  
Nektarios A. Michail ◽  
Konstantinos D. Melas
Keyword(s):  
Stock Market ◽  
Moving Average ◽  
Trading Strategy ◽  
Investment Strategies ◽  
Shipping Industry ◽  
Stock Market Returns ◽  
Average Rule ◽  
Stock Market Performance ◽  
Close Relationship ◽  
The Baltic

Abstract In the current paper, we propose a strategy to trade a portfolio of listed shipping companies in the US market. In particular, we estimate a co-integrating relationship between the weekly stock market returns of a portfolio of tanker shipping companies and the Baltic Tanker Index, exploiting the close relationship between freight rates and the stock market performance of shipping companies. Our results suggest that a trading strategy on the basis of a co-integrating relationship and a simple moving average rule outperforms, by approximately 50%, a standard buy-and-hold strategy in various investment horizons, often by a very wide margin. Given the latter, the results allow us to enhance the current literature on shipping finance by providing evidence of how simple investment strategies can benefit both retail and institutional investors who do not have direct exposure or experience in the shipping industry by allowing them to include shipping stocks in their portfolios.

scholarly journals Value Premium and Technical Analysis: Evidence from the China Stock Market

Economies ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 92 ◽  
Author(s):  
Lam ◽  
Dong ◽  
Yu
Keyword(s):  
Stock Market ◽  
Transaction Costs ◽  
Moving Average ◽  
Technical Analysis ◽  
Trading Strategy ◽  
Value Premium ◽  
Chinese Stock Market ◽  
New Strategy ◽  
The One ◽  
Three Factor

We find value premium in the Chinese stock market using a conventional buy-and-hold approach which longs the portfolio with the highest BM ratio and shorts the one with the lowest BM ratio. Based on the finding, we test a new strategy by combining the value premium effect and technical analysis. During the sample period (1995 to 2015), we trade the objective portfolio or risk-free asset according to the moving average timing signals, and we find excess return from such a zero-cost trading strategy. We perform various robustness tests and find that the excess returns remain significantly positive after adjusting for risks (on three factor models) and transaction costs. In general, we find that the combined trading strategy can generate significant positive risk-adjusted returns after the transaction costs.

Automatic Identification of Autoregressive Integrated Moving Average Time Series

1982 ◽  
Vol 14 (3) ◽  
pp. 156-166 ◽  
Author(s):  
Chin-Sheng Alan Kang ◽  
David D. Bedworth ◽  
Dwayne A. Rollier
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Automatic Identification ◽  
Autoregressive Integrated Moving Average

Smoothing Facilitates the Detection of Coupled Responses in Psychophysiological Time Series

2000 ◽  
Vol 14 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Joni Kettunen ◽  
Niklas Ravaja ◽  
Liisa Keltikangas-Järvinen
Keyword(s):  
Time Series ◽  
Type I Error ◽  
Electrodermal Activity ◽  
Moving Average ◽  
Type I ◽  
Facial Electromyography ◽  
Response Characteristics ◽  
Smoothing Methods ◽  
Response Systems ◽  
Different Response

Abstract We examined the use of smoothing to enhance the detection of response coupling from the activity of different response systems. Three different types of moving average smoothers were applied to both simulated interbeat interval (IBI) and electrodermal activity (EDA) time series and to empirical IBI, EDA, and facial electromyography time series. The results indicated that progressive smoothing increased the efficiency of the detection of response coupling but did not increase the probability of Type I error. The power of the smoothing methods depended on the response characteristics. The benefits and use of the smoothing methods to extract information from psychophysiological time series are discussed.

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