APPLYING A COMBINED MAX-MIN SIMPLE MOVING AVERAGE TRADING STRATEGY TO MARKET INDEXES
APPLYING A COMBINED MAX-MIN SIMPLE MOVING AVERAGE TRADING STRATEGY TO MARKET INDEXES
Author(s): Louie Ren, Peter RenSubject(s): Business Economy / Management, Financial Markets
Published by: Addleton Academic Publishers
Keywords: combined moving average trading rule; efficient market hypothesis; max-max strategy; max-min strategy; rate of return; simple moving average trading rules;
Summary/Abstract: In this paper, we propose and recommend a new combined moving average trading rule based on max-min strategy. It outperforms the traditional simple moving average trading rules for Buy and Sell-day returns by a factor of 10 to 20 in the DJIA, the NASDAQ, and the S&P. It also outperforms the old traditional combined moving average trading rule based on max-max strategy proposed by Arnold and Rahfeldt in 2008 for Sell-day returns by a factor of 10 to 20 in the DJIA, the NASDAQ, and the S&P.
Journal: Economics, Management, and Financial Markets
- Issue Year: 13/2018
- Issue No: 2
- Page Range: 11-23
- Page Count: 13
- Language: English
- Content File-PDF
