Market Timing with Moving Averages

Market Timing with Moving Averages

The Anatomy and Performance of Trading Rules

Zakamulin, Valeriy

Springer International Publishing AG

08/2018

278

Mole

Inglês

9783319869728

15 a 20 dias

Descrição não disponível.
Part I: Anatomy of Trading RulesSynopsis: Uncovers the anatomy of market timing rules based on moving averages of prices Chapter 1. Introduction Chapter 2. Moving Averages Synopsis: This chapter presents all necessary information about different types of moving averages that are used in trading rules 1. Simple Moving Average 2. Linear Moving Average3. Exponential Moving Average4. Reverse Exponential Moving Averages5. Moving Averages of Moving Averages: Double and Triple Exponential Moving AverageChapter 3. Trading RulesSynopsis: This chapter introduces different trading rules that are used by practitioners 1. Momentum Rule 2. Price-minus-Moving Average Rule3. Change of Direction Rule4. Moving Average Crossover5. Moving Average Convergence DivergenceChapter 4. Anatomy of Trading RulesSynopsis: This is the core chapter in the first part of the book. Here I uncover the anatomy of each trading rule coupled with some specific type of a moving average 1. Preliminaries 2. Momentum Rule3. Price-minus-Moving Average Rule4. Change of Direction Rule5. Moving Average Crossover6. Moving Average Convergence DivergenceChapter 5. Summary and ConclusionsSynopsis: This chapter summarizes the information from the previous chapter and draws general conclusions 1. Generic Trading Rule 2. Alternative Construction of a Generic Trading RulePart II: Performance of Trading Rules Synopsis: In this part of the book I present the most comprehensive and objective analysis of empirical performance of market timing rules based on moving averages Chapter 1. Introduction Chapter 2. Transaction Costs and the Returns to a Trading Strategy Synopsis: This chapter informs about transaction costs and their impact on the returns to a trading strategy Chapter 3. Performance measurement of a Trading Strategy Synopsis: This chapter presents the information about the measurement of the performance of a trading strategy and how to test the hypothesis whether an active trading strategy outperforms the passive strategy 1. Mean returns 2. Risk-adjusted returns: Modigiliani-Modigiliani measure (M2) and Sharpe ratio3. Statistical tests for outperformanceChapter 3. Simulation of Trading StrategiesSynopsis: In this chapter I explain how to simulate objectively the returns to a trading strategy 1. In-Sample Simulation of a trading strategy 2. Out-of-Sample Simulation of a trading strategy2.1 Splitting the total sample in two segments2.2 Rolling and Expanding window estimation schemes3. Adaptive approach to selecting a trading rule in out-of-sample testsChapter 4. Case Study: Historical Performance of Trading Rules on the S&P Composite IndexSynopsis: This is the core chapter in the second part of the book where I present the most comprehensive analysis of historical empirical performance of different trading rules using the longest historical period of 155 years 1. Data 1.1 Construction of 155 Year Historical Data1.2 Bull and Bear Cycles in the Stock Market1.3 Test for Structural Breaks in Data2. Historical Performance of the Most Typical Trading Rules2.1 The set of rules2.2 Time variations in the optimal size of the averaging window2.2 Performance over Bull and Bear Markets Separately2.3 Measuring Similarity Between Bull-Bear Markets and Buy-Sell Trading Signals2.4 Performance over Interchanging Bull and Bear Markets2.5 Performance over short- to medium-term horizons3. Historical Performance of Various Weighting Schemes3.1 Best performing weighting scheme3.2 Adaptive selection of the best weighting scheme3.3 Robust weighting schemeChapter 5. Case Study: Historical Performance of Trading Rules on Other Financial IndicesSynopsis: In this chapter I briefly evaluate the historical empirical performance of different trading rules using data on a set of different financial indices. The historical data in this chapter are much shorter than in the previous chapter and spans periods of maximum 90 years (beginning from 1926) 1. The set of indices 2. Historical performance of trading rulesChapter 6. Summary and ConclusionsSynopsis: This final chapter in the second part of the book summaries and draws general conclusion on the historical performance of trading rules based on moving averages
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