A platform for research: civil engineering, architecture and urbanism
A platform for research: civil engineering, architecture and urbanism
Market Timing with Moving Averages
Consider using the simple moving average (MA) rule of Gartley to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show that, on average, the lower is the frequency, the higher are average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest randomly half the time in stock markets and half in the risk-free rate.
Market Timing with Moving Averages
Consider using the simple moving average (MA) rule of Gartley to determine when to buy stocks, and when to sell them and switch to the risk-free rate. In comparison, how might the performance be affected if the frequency is changed to the use of MA calculations? The empirical results show that, on average, the lower is the frequency, the higher are average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest randomly half the time in stock markets and half in the risk-free rate.
Market Timing with Moving Averages
Jukka Ilomäki (author) / Hannu Laurila (author) / Michael McAleer (author)
2018
Article (Journal)
Electronic Resource
Unknown
Metadata by DOAJ is licensed under CC BY-SA 1.0
QA/QC of Hourly Averages from Dataloggers Using Minute Averages
| British Library Conference Proceedings | 1992
From mean Lipschitzian mappings to a generalized moving averages in Banach spaces
| British Library Online Contents | 2016
Nonlinear Averages in Economics
| British Library Online Contents | 2005
| IET Digital Library Archive | 1873
Best Estimates, Excursions, and Averages
| Wiley | 2008