Search results for "market timing"
showing 2 items of 12 documents
Market Timing with a Robust Moving Average
2015
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.
Timing the US Stock Market Using Moving Averages and Momentum Rules: An Extensive Study
2017
Master's thesis Business Administration BE501 - University of Agder 2017 In this thesis we investigate the performance of moving average and momentum strategies by simulating returns, both in-sample and out-of-sample, while simultaneously taking into account important market frictions. We do so for two stock indices and four stock portfolios, at daily and monthly frequency, in the period from 1928 to 2015. This is carried out in order to examine if the active strategies outperform the passive benchmark on a risk-adjusted basis, and to see if the trading rules pro table when tested in-sample also are pro table out-of-sample. In addition, and for the rst time, we examine the relevance of data…