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

被引：0
|
作者：
Tapa, Afiruddin [1 ]
Yean, Soh Chuen [2 ]
Ahmad, Shahrul Nizam [1 ]
机构：
[1] Univ Utara Malaysia, Sch Econ Finance & Banking, Coll Business, Kedah, Malaysia
[2] Univ Utara Malaysia Kuala Lumpur, Kuala Lumpur, Malaysia
来源：
ISSC 2016 INTERNATIONAL CONFERENCE ON SOFT SCIENCE | 2016年 / 14卷
关键词：
Technical analysis; moving average; buy-and- hold strategy; crossover strategy; modified MA; TECHNICAL ANALYSIS; COMPUTATIONAL ALGORITHMS; STATISTICAL-INFERENCE; RULE; FOUNDATIONS; RETURNS;
D O I：
10.15405/epsbs.2016.08.111
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
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
引用
收藏
页码：788 / 794
页数：7
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