Revisiting The Profitability Of Market Timing With Moving Averages
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| Author | : Valeriy Zakamulin |
| Publisher | : |
| Total Pages | : 10 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
In a recent empirical study by Glabadanidis ("Market Timing With Moving Averages" (2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper is also available on the SSRN and has been downloaded more than 7,500 times) the author reports striking evidence of extraordinary good performance of the moving average trading strategy. In this paper we demonstrate that "too good to be true" reported performance of the moving average strategy is due to simulating the trading with look-ahead bias. We perform the simulations without look-ahead bias and report the true performance of the moving average strategy. We find that at best the performance of the moving average strategy is only marginally better than that of the corresponding buy-and-hold strategy. In statistical terms, the performance of the moving average strategy is indistinguishable from the performance of the buy-and-hold strategy. This paper is supplied with R code that allows every interested reader to reproduce the reported results.
| Author | : Valeriy Zakamulin |
| Publisher | : Springer |
| Total Pages | : 300 |
| Release | : 2017-11-17 |
| Genre | : Business & Economics |
| ISBN | : 331960970X |
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.
| Author | : P. Glabadanidis |
| Publisher | : Springer |
| Total Pages | : 188 |
| Release | : 2015-07-15 |
| Genre | : Business & Economics |
| ISBN | : 1137359838 |
There is a prevailing view among researchers and practitioners that abnormal risk-adjusted returns are an anomaly of financial market inefficiency. This outlook is misleading, since such returns only shed light on the imperfect models commonly used to measure and benchmark investment performance. In particular, using static asset pricing models to judge the performance of a dynamic investment strategy leads to flawed inferences when predicting market indicators. Market Timing and Moving Averages investigates the performance of moving average price indicators as a tactical asset allocation strategy. Glabadanidis provides a rationale for analyzing and testing the market timing and predictive power of any indicator based on past average prices and trading volume. He argues that certain trading strategies are best implemented as a dynamic asset allocation without selling short, in turn achieving the effect of an imperfect at-the-money protective put option. This work contains an empirical analysis of the performance of various versions of trading strategies based on simple moving averages.
| Author | : Desmond van der Kruk |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
This paper tests the moving-average strategy, dual moving average strategy, filter rule strategy and support-and-resist strategy and finds that all of these strategies can outperform the buy-and-hold strategy. The results are not driven by the momentum effect and even with the inclusion of transaction costs, the dual moving average strategy and filter rule strategy are more profitable than the buy-and-hold strategy. Furthermore, results show that the volatility and beta of the buy-and-hold strategy is larger than any of the market timing strategies tested. Therefore, using technical analysis reduces risk.
| Author | : Thomas R. DeMark |
| Publisher | : John Wiley & Sons |
| Total Pages | : 372 |
| Release | : 1997-07-17 |
| Genre | : Business & Economics |
| ISBN | : 9780471149781 |
Thomas DeMark, einer der Meister technischer Indikatoren, betritt mit diesem Buch Neuland und verfeinert den popularsten und prazisesten seiner Indikatoren, wobei er besonderen Wert auf Echtzeitanwendungen legt. Bisher unveroffentlichte Angaben zum neuen Indikator 'TD Combo' geben Ihnen ein wertvolles Hilfsmittel fur den Markt in die Hand.
| Author | : Richard A. Dickson |
| Publisher | : FT Press |
| Total Pages | : 224 |
| Release | : 2018-02 |
| Genre | : Business & Economics |
| ISBN | : 9780134770291 |
For generations, technical market analysts have relied on the Wyckoff method for understanding price/volume interactions--a breakthrough technique created by Richard D. Wyckoff, one of the most influential traders in stock market history. More recently, many technical analysts have also applied the Lowry Analysis, an exceptionally powerful approach to understanding the forces of supply and demand that are the starting point for all macro-analysis. Now, for the first time, two leaders at Lowry Research discuss how to combine these methods. Drawing on more than 45 years of experience as technical analysts, Richard A. Dickson and Tracy Knudsen introduce a uniquely powerful, objective, and quantifiable approach to applying traditional price/volume analysis. By understanding their techniques, investors can gain insights unavailable through other technical methodologies, and uncover subtle indications of emerging trend shifts before other methods can reveal them. Dickson and Knudsen explain each concept clearly and simply, presenting realistic examples. Mastering Market Timing is accessible to a wide range of investors and traders, including those without extensive technical analysis experience or high-level mathematical training.
| Author | : Valeriy Zakamulin |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) "A Quantitative Approach to Tactical Asset Allocation" published in the Journal of Wealth Management). However, the ``too good to be true" reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future performance will be the same as the documented historical performance. We argue that the reported performance of market timing strategies usually contains a considerable data-mining bias and ignores important market frictions. To address these issues, we perform out-of-sample tests of these two timing models in which we account for realistic transaction costs. Our findings reveal that the performance of market timing strategies is highly overstated, to say the least.
| Author | : Clif Droke |
| Publisher | : Marketplace Books, Incorporated |
| Total Pages | : 148 |
| Release | : 2001 |
| Genre | : Business & Economics |
| ISBN | : |
For years, application of Moving Averages has helped many market "wizards" make more profitable trades. Now, every trader can gain a broader understanding of this powerful tool and get down to basics with "Moving Averages Simplified." Use the expertise of noted trader Clif Droke to ease all uncertainties, answer all the questions and remove the mystery when applying Moving Averages to your own trading. Learn to trade with single or double moving averages as well as how to use them to identify price cycles and support & resistance levels. Benefit from this step-by-step guide that takes you through every aspect of moving averages - easily.Successful traders know that using Moving Averages can result in more profitable trades -if applied properly. But, what are Moving Averages? When -and how- should they be used? Now, noted trader Clif Droke takes the mystery out of Moving Averages by explaining them in detail, describing how they can be employed to zero in on buy/sell signals that result in more profitable trades- more often. Traders of every level will also discover how to: --Calculate moving averages -including the Simple, Variable, and Exponential --Use moving averages to identify price cycle bottoms --Identify support and resistance levels with moving averages --Spot trend changes with moving averages Supported by numerous examples and charts that help visualize time- tested tips and techniques -you'll soon solve the simple "mystery" behind this incredibly powerful investment tool.
| Author | : Leslie Masonson |
| Publisher | : McGraw-Hill |
| Total Pages | : 276 |
| Release | : 2003-09-24 |
| Genre | : Business & Economics |
| ISBN | : 9780071413312 |
Shell-shocked investors have lost patience with the traditional buy-and-hold approach to investing. All About Market Timing arms investors with simple, easy-to-use timing techniques that they can use to enter rising markets, exit (or go short) falling markets, and make consistent profits in both market environments while protecting against catastrophic losses. Compelling arguments demonstrate the superiority of basic timing over buy-and-hold, while step-by-step instructions show how uncomplicated timing can be. Specific investment vehicles are recommended that fit well into most timing strategies. Investors who want to time the market using their own strategies are provided with information on available software and Web sites. And those investors who are looking for advisors to help them are provided with unbiased rating services to help them select the advisor that is best for them.
| Author | : P. Glabadanidis |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : 9781349676163 |
