Standard

Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence. / Luukka, Pasi; Pätäri, Eero; Fedorova, Elena; Garanina, Tatiana.

в: Emerging Markets Finance and Trade, 2015, стр. 1-18.

Результаты исследований: Научные публикации в периодических изданиях › статья

Harvard

Luukka, P, Pätäri, E, Fedorova, E & Garanina, T 2015, 'Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence', Emerging Markets Finance and Trade, стр. 1-18. https://doi.org/10.1080/1540496X.2015.1087785

APA

Luukka, P., Pätäri, E., Fedorova, E., & Garanina, T. (2015). Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence. Emerging Markets Finance and Trade, 1-18. https://doi.org/10.1080/1540496X.2015.1087785

Vancouver

Luukka P, Pätäri E, Fedorova E, Garanina T. Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence. Emerging Markets Finance and Trade. 2015;1-18. https://doi.org/10.1080/1540496X.2015.1087785

Author

Luukka, Pasi ; Pätäri, Eero ; Fedorova, Elena ; Garanina, Tatiana. / Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence. в: Emerging Markets Finance and Trade. 2015 ; стр. 1-18.

BibTeX

@article{90c419b38a254c4eb0c3fc49ae890364,
title = "Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence",
abstract = "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.",
keywords = "market efficiency, moving average, ordered weighted average, portfolio performance, quantifier guided aggregation, technical analysis, trading rules",
author = "Pasi Luukka and Eero P{\"a}t{\"a}ri and Elena Fedorova and Tatiana Garanina",
year = "2015",
doi = "10.1080/1540496X.2015.1087785",
language = "English",
pages = "1--18",
journal = "Emerging Markets Finance and Trade",
issn = "1540-496X",
publisher = "M.E. Sharpe Inc.",

}

RIS

TY - JOUR

T1 - Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence

AU - Luukka, Pasi

AU - Pätäri, Eero

AU - Fedorova, Elena

AU - Garanina, Tatiana

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

KW - market efficiency

KW - moving average

KW - ordered weighted average

KW - portfolio performance

KW - quantifier guided aggregation

KW - technical analysis

KW - trading rules

U2 - 10.1080/1540496X.2015.1087785

DO - 10.1080/1540496X.2015.1087785

M3 - Article

SP - 1

EP - 18

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

SN - 1540-496X

ER -

ID: 5803251