Optimizing Moving-Average Trading Strategy: Evidence in Malaysia Equity Market

Technical analysis practitioners believe that data on past price and volume provide important and useful information in forecasting future price movements in the financial market. This paper study Optimizing Moving-Average Trading Strategy. We find that the original classical moving average crossover strategies have generated higher risk-adjusted portfolio return as compared to the simple buy-and-hold strategy. The modified MA crossover strategy shows inconsistency in its strategy return as some periods of crossover show higher return as compared to the original strategy, while some shows lower strategy return. This may be due to the stricter additional trading rule that reduces trading signals, and thus lower number of trades. (C) 2016 Published by Future Academy www.FutureAcademy.org.uk