APPLYING A COMBINED MAX-MIN SIMPLE MOVING AVERAGE TRADING STRATEGY TO MARKET INDEXES

2018 ◽  
Vol 13 (2) ◽  
pp. 11 ◽  
Keyword(s):  
Moving Average ◽  
Trading Strategy ◽  
Market Indexes

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.

PROFITABILITY OF A SIMPLE PAIRS TRADING STRATEGY: RECENT EVIDENCES FROM A GLOBAL CONTEXT

2016 ◽  
Vol 19 (04) ◽  
pp. 1650023
Author(s):  
JIA MIAO ◽  
JASON LAWS
Keyword(s):  
Transaction Costs ◽  
Investment Strategy ◽  
Trading Strategy ◽  
Trading Rule ◽  
Pairs Trading ◽  
Working Paper ◽  
Bear Markets ◽  
Relative Value ◽  
Trading Profits ◽  
Market Indexes

Pairs trading strategy is a popular investment strategy, where traders long one stock and short the other stock. The trading profits are expected to be “immune” to any market conditions: being uptrend, downtrend, or sideways, instead the performance is determined by the relative performance of the pair. Following Gatev et al. [(1999) Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Working Paper, Yale School of Management; (2006) Pairs trading: Performance of a relative-value arbitrage rule, The Review of Financial Study, 19, 797–827] and Do & Faff [(2010) Does simple pairs trading still work? Financial Analyst Journal, 66, 1–12], we examine whether the simple pairs trading rule is also profitable in markets outside of the US. We also examine whether the trading rule performs consistently during bull and bear markets, including the recent period of market turbulence. Our results show that in most countries, the strategy generates positive returns, without evidence of under performance during bear markets. Unlike prior research, we do not find that the trading profits diminish over recent years. The pairs trading strategy generates positive returns even after transaction costs. However, the returns deteriorate significantly at a higher level of transaction costs. It is also found that the correlation between the returns on our pairs trading portfolios and the returns on the corresponding stock market indexes is low, confirming its role as a diversifier to the traditional long only investments.

HOW TO MAKE A PROFITABLE TRADING STRATEGY MORE PROFITABLE?

2013 ◽  
Vol 58 (03) ◽  
pp. 1350019 ◽  
Author(s):  
TERENCE TAI-LEUNG CHONG ◽  
TAU-HING LAM
Keyword(s):  
Stock Market ◽  
Trading Strategy ◽  
Chinese Stock Market ◽  
Chinese Market ◽  
Trading Rules ◽  
New Strategy ◽  
Market Indexes ◽  
The U.S

Chong and Lam and Chong et al. show that SETAR(200) and MA(50) outperform other rules in both the U.S. and the Chinese stock market. This paper investigates the synergy of combining SETAR(200) and MA(50) rules in ten U.S. and Chinese stock market indexes. It is found that the SETAR rule performs better in the U.S. market, while the MA rule performs better in the Chinese market. In addition, we find evidence that a new strategy combining the two rules together is able to create synergy. An immediate implication of our result is that investors are able to improve the performance of their portfolios by combining existing profitable trading rules.

Can Technical Indicators Provide Information for Future Volatility: International Evidence

2020 ◽  
Vol 8 (1) ◽  
pp. 53-66
Author(s):  
Yafeng Shi ◽  
Xiangxing Tao ◽  
Yanlong Shi ◽  
Nenghui Zhu ◽  
Tingting Ying ◽  
...  
Keyword(s):  
Moving Average ◽  
Emerging Market ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Copula Models ◽  
Technical Indicators ◽  
International Evidence ◽  
Dynamic Copula ◽  
Market Indexes ◽  
Stock Indexes

AbstractWe employ the static and dynamic copula models to investigate whether technical indicators provide information on volatility in the next trading day, where the volatility is measured by daily realized volatility. Our empirical results, based on long samples of 8 well-known stock indexes, suggest that a significant and asymmetric tail dependence between the technical indicators based on moving average and the next day volatility. The level of dependence change over time in a persistent manner. And the dependence structure presents some distinct differences between emerging market indexes and developed market indexes. These results indicate that the technical indicators can provide information on the next day volatility at extremes, and are less informative at normal market.

scholarly journals VaR BASED RISK MANAGEMENT

2013 ◽  
Vol 1 ◽  
pp. 25-33
Author(s):  
Mária Bohdalová ◽  
Michal Greguš
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Financial Risk ◽  
Heavy Tails ◽  
Moving Average ◽  
Laplace Distribution ◽  
Asymmetric Laplace Distribution ◽  
New Approach ◽  
Market Indexes ◽  
Weighted Moving Average

In this paper we discuss the Value–at–Risk concept and we analyse the market risk by using EWMA approach. EWMA (exponentially weighted moving average) forecasting technique is a popular measure of various risks in financial risk management. We will compare standard EWMA, robust EWMA and skewed EWMA forecast of VaR. JP Morgan standard EWMA is derived from Gaussian distribution. Robust EWMA is based on Laplace distribution and skewed EWMA is a new approach derived from an asymmetric Laplace distribution. Asymmetric Laplace distribution takes into account both skewness and heavy tails in return distribution and the time varying nature of them in practice. Skewed EWMA VaR is a generalization of the standard EWMA method. Using these approaches we will analyse selected financial series (three European market indexes and one exchange rate). We have found andconfirmed that skewed EWMA forecasting of VaR outperforms the standard EWMA method.

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.

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