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Market Timing with Moving Averages Valeriy Zakamulin

Market Timing with Moving Averages von Valeriy Zakamulin

Market Timing with Moving Averages Valeriy Zakamulin

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Zusammenfassung

This book provides a comprehensive guide to market timing using moving averages. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules.

Market Timing with Moving Averages Zusammenfassung

Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules Valeriy Zakamulin

This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.

Über Valeriy Zakamulin

Valeriy Zakamulin is Professor of Finance at the School of Business and Law, University of Agder, Norway. He has an M.S. in Business Administration and a PhD in Finance from the Norwegian School of Economics, Norway. He has published articles for various refereed academic and practitioner journals and is a frequent speaker at international conferences. He has also served on the Editorial Board of the Open Economics Journal, Journal of Banking and Finance, and International Journal of Emerging Markets. His current research interests cover behavioral finance, portfolio optimization, time-series analysis of financial data, and stock return and risk predictability.

Inhaltsverzeichnis

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

Zusätzliche Informationen

GOR013699453
9783319609690
3319609696
Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules Valeriy Zakamulin
Valeriy Zakamulin
New Developments in Quantitative Trading and Investment
Gebraucht - Wie Neu
Gebundene Ausgabe
Springer International Publishing AG
2017-12-04
278
N/A
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