Testing momentum and simple moving average strategies in precious metal's, equity indices and currency markets

2014

Masteroppgave økonomi og administrasjon- Universitetet i Agder, 2014 This study examines whether technical analysis using the time-series momentum (MOM) and simple moving average (SMA) rules can be implemented in 4 precious metal's, 4 equity indices and 12 currency markets, to outperform a passive buy and hold strategy. The results show that technical analysis and the strategies tested, performed very well on in-sample data for the total period from 1970 to 2012, and out-performed the buy and hold strategy with both higher return's and lower risk. Of the assets tested, the strategies worked best on precious metal's and equity indices, with good but poorer results for the currency pairs. The…