A1 Journal article (refereed), original research
Performance of moving average trading strategies over varying stock market conditions: The Finnish evidence

LUT Authors / Editors

Publication Details
Authors: Pätäri Eero, Vilska Mika
Publisher: Taylor & Francis (Routledge): SSH Titles
Publication year: 2014
Language: English
Related Journal or Series Information: Applied Economics
Volume number: 46
Issue number: 24
Start page: 2851
End page: 2872
Number of pages: 22
ISSN: 0003-6846
eISSN: 1466-4283
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 Finnish stock market over the period 1996 to 2012. It contributes to the existing technical analysis literature by comparing for the first time the performance of DMAC trading portfolios of individual stocks to the performance of index trading strategies based on trading on an index that consists of the same stocks. The results show that their relative performance varies over time, whereas previous studies have documented outperformance of index trading strategies over trading strategies of stock portfolios. Moreover, the great majority of 3020 DMAC strategies examined in this article outperform the corresponding buy-and-hold (B and H) strategy for both trading targets (i.e., OMX Helsinki 25 index and individual stocks included in the index) in out-of-sample tests. In addition, the decomposition of the full-sample-period performance into separate bull- and bear-period performance shows clearly that the outperformance of DMAC strategies over B and H strategy is mostly attributable to their better performance during bearish periods.

Research Areas

Last updated on 2017-10-05 at 08:16