Search results for "Moving average"
showing 10 items of 41 documents
Multiscale analysis of information dynamics for linear multivariate processes.
2016
In the study of complex physical and physiological systems represented by multivariate time series, an issue of great interest is the description of the system dynamics over a range of different temporal scales. While information-theoretic approaches to the multiscale analysis of complex dynamics are being increasingly used, the theoretical properties of the applied measures are poorly understood. This study introduces for the first time a framework for the analytical computation of information dynamics for linear multivariate stochastic processes explored at different time scales. After showing that the multiscale processing of a vector autoregressive (VAR) process introduces a moving aver…
Moving Averages for Market Timing
2016
This paper begins by presenting the moving average methodology of detecting the direction of a trend and identifying turning points in the trend in real time. The paper then proceeds to introduce the general weighted moving average, derives some of its key properties, and discusses how to quantitatively assess the two important characteristics of a moving average: the average lag time and the smoothness. Finally the paper aims to give an overview of some specific types of moving averages used in market timing. These types include regular moving averages, moving averages of moving averages, and mixed moving averages with less lag time. Different types of moving averages are compared to each …
Types of Moving Averages
2017
This chapter presents a detailed review of all ordinary types of moving averages, as well as some exotic types of moving averages. These exotic moving averages include moving averages of moving averages and mixed moving averages with less average lag time. For the majority of moving averages, this chapter computes the closed-form solutions for the average lag time and smoothness. This chapter also demonstrates that the average lag time of a moving average can easily be manipulated; therefore the notion of the average lag time has very little to do with the delay time in the identification of turning points in a price trend.
Performance Measurement and Outperformance Tests
2017
This chapter explains how to evaluate the performance of a trading strategy and how to carry out a statistical test of the hypothesis that a moving average trading strategy outperforms the corresponding buy-and-hold strategy. In particular, it argues that there is no unique performance measure, reviews the most popular performance measures, and points to the limitations of these measures. The chapter then surveys the parametric methods of testing the outperformance hypothesis and the current “state of the art” non-parametric methods.
Fooled by Data-Mining: The Real-Life Performance of Market Timing with Moving Averages
2013
In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial advantages over their passive counterparts (see, for example, the paper by M. Faber (2007) "A Quantitative Approach to Tactical Asset Allocation" published in the Journal of Wealth Management). However, the ``too good to be true" reported performance of these market timing rules raises a legitimate concern as to whether this performance is realistic and whether investors can expect that future perfo…
Trend following with momentum versus moving averages: a tale of differences
2020
Despite the ever-growing interest in trend following and a series of publications in academic journals, there is a dearth of theoretical results on the properties of trend-following rules. Our pape...
Market Timing with Moving Averages: Anatomy and Performance of Trading Rules
2015
The underlying concept behind the technical trading indicators based on moving averages of prices has remained unaltered for more than half of a century. The development in this field has consisted in proposing new ad-hoc rules and using more elaborate types of moving averages in the existing rules, without any deeper analysis of commonalities and differences between miscellaneous choices for trading rules and moving averages. The first contribution of this paper is to uncover the anatomy of market timing rules with moving averages. Our analysis offers a new and very insightful reinterpretation of the existing rules and demonstrates that the computation of every trading indicator can equiva…
Forecasting container transshipment in Germany
2009
International audience; In this paper, we examine container transshipment at German ports using the seasonal ARIMA (SARIMA) model and the Holt-Winters exponential smoothing approach. Our models are designed especially to take account of the seasonal behavior of the quarterly data used. We consider the dynamic development in this sector for the whole container throughput and also the destinations Asia, Europe and North America, which are the world's three main economic regions. Our data runs from the first quarter of 1989 to the fourth quarter of 2006. We provide detailed quarterly forecasts for the year 2007 and 2008. According to forecasting error measures such as Mean Square Error and The…
Data-based modeling of vehicle collisions by nonlinear autoregressive model and feedforward neural network
2013
Vehicle crash test is the most direct and common method to assess vehicle crashworthiness. Visual inspection and obtained measurements, such as car acceleration, are used, e.g. to examine impact severity of an occupant or to assess overall car safety. However, those experiments are complex, time-consuming, and expensive. We propose a method to reproduce car kinematics during a collision using nonlinear autoregressive (NAR) model which parameters are estimated by the use of feedforward neural network. NAR model presented in this study is derived from the more general one - nonlinear autoregressive with moving average (NARMA). Suitability of autoregressive systems for data-based modeling was …
Kinetic Monte Carlo modeling of Y2O3 nano-cluster formation in radiation resistant matrices
2018
This work has been carried out within the framework of the EUROfusion Consortium and has received funding from the Euratom research and training programme 2014-2018 under grant agreement No 633053. The views and opinions expressed herein do not necessarily reflect those of the European Commission.