6533b851fe1ef96bd12aa032

RESEARCH PRODUCT

Market Timing with a Robust Moving Average

Valeriy Zakamulin

subject

Scheme (programming language)Moving averageRobustness (computer science)Technical analysisEconometricsEconomicsStock price indexA-weightingMarket timingcomputercomputer.programming_languageWeighting

description

In this paper we entertain a method of finding the most robust moving average weighting scheme to use for the purpose of timing the market. Robustness of a weighting scheme is defined its ability to generate sustainable performance under all possible market scenarios regardless of the size of the averaging window. The method is illustrated using the long-run historical data on the Standard and Poor's Composite stock price index. We find the most robust moving average weighting scheme, demonstrates its advantages, and discuss its practical implementation.

https://doi.org/10.2139/ssrn.2612307