Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules

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Springer, Nov 17, 2017 - Business & Economics - 278 pages
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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.
 

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Contents

Moving Averages
2
1 Why Moving Averages?
3
2 Basics of Moving Averages
11
3 Types of Moving Averages
22
Trading Rules and Their Anatomy
53
4 Technical Trading Rules
55
5 Anatomy of Trading Rules
70
Performance Testing Methodology
103
7 Performance Measurement and Outperformance Tests
111
8 Testing Profitability of Technical Trading Rules
129
Case Studies
141
9 Trading the Standard and Poors Composite Index
142
10 Trading in Other Financial Markets
223
11 Conclusion
265
Index
275
Copyright

6 Transaction Costs and Returns to a Trading Strategy
105

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About the author (2017)

Valeriy Zakamulin is Professor of Finance at the School of Business and Law, University of Agder, Norway. He has an M.S. in Business Administration and a PhD in Finance from the Norwegian School of Economics, Norway. He has published articles for various refereed academic and practitioner journals and is a frequent speaker at international conferences. He has also served on the Editorial Board of the Open Economics Journal, Journal of Banking and Finance, and International Journal of Emerging Markets. His current research interests cover behavioral finance, portfolio optimization, time-series analysis of financial data, and stock return and risk predictability.