Re-examining the Profitability of Moving Average Rules in Various Financial Markets

2017

Master's thesis Business Administration BE501 - University of Agder 2017 Previous studies nd evidence both in favor and against the usefulness of the moving average (MA) strategies, while a nal conclusion is yet to be made. This thesis investigates the performance of MA strategies versus the passive buy-and-hold (BH) strategy, in the commodity, currency, stock and bond markets. To measure the outperformance, we simulate the out-of-sample returns to the MA strategies for all four nancial markets. Moreover, possibly for the rst time, we provide out-of-sample tests of the performance of MA strategies when a sell signal is a signal to short the underlying asset. In addition, we use a combinatio…