A1 Journal article (refereed), original research
Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence

Publication Details
Authors: Luukka Pasi, Pätäri Eero, Fedorova Elena, Garanina Tatiana
Publisher: Taylor & Francis (Routledge): SSH Titles
Publication year: 2016
Language: English
Related Journal or Series Information: Emerging Markets Finance and Trade
Volume number: 52
Issue number: 10
Start page: 2434
End page: 2450
Number of pages: 17
ISSN: 1540-496X
JUFO-Level of this publication: 1
Open Access: Not an Open Access publication

This article examines the profitability of dual moving average crossover (DMAC) trading strategies in the Russian stock market over the 2003–12 period. It contributes to the existing technical analysis (TA) literature by testing, for the first time, the applicability of ordered weighted moving averages (OWMA) as an alternative calculation basis for determining DMACs. In addition, this article provides the first comprehensive performance comparison of DMAC trading rules in the stock market that is known as one of the most volatile markets in the world. The results show that the best trading strategies of the in-sample period can also outperform their benchmark portfolio during the subsequent out-of-sample period. Moreover, the outperformance of the best DMAC strategies is mostly attributable to their superior performance during bearish periods and, particularly, during stock market crashes.

Last updated on 2018-26-01 at 08:35