Market timing with moving averages : the anatomy and performance of trading rules / Valeriy Zakamulin.

Format:

Book

Author/Creator:

Zakamulin, Valeriy, author.

Series:

New developments in quantitative trading and investment

Language:

English

Subjects (All):

Investment analysis.

Stock price forecasting.

Physical Description:

xxxii, 278 pages : illustrations ; 24 cm.

Place of Publication:

Cham, Switzerland : Palgrave Macmillan, [2017]

Summary:

"The market timing rules based on moving averages of prices have remained virtually unaltered for more than half a century. As a result, there exist a large number of potential combinations of trading rules with moving average weighting schemes. This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages. A useful reference, this book presents valuable, unique, and objective information for practitioners who are interested in using moving average trading strategies."-- Dust jacket.

Contents:

Part I. Moving averages

Why moving averages?

Basics of moving averages

Types of moving averages

Part II. Trading rules and their anatomy

Technical trading rules

Anatomy of trading rules

Part III. Performance testing methodology

Transaction costs and returns to a trading strategy

Performance measurement and outperformance tests

Testing profitability of technical trading rules

Part IV. Case studies

Trading the Standard and Poor's composite index

Trading in other financial markets

Conclusion.

Notes:

Includes bibliographical references and index.

ISBN:

9783319609690

3319609696

OCLC:

988280651