Market Timing with Moving Averages The Anatomy and Performance of Tr
This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology t
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VALERIY ZAKAMULIN
New Developments in Quantitative Trading and Investment
Series editors Christian Dunis Liverpool John Moores University Liverpool, UK Hans-Jörg von Mettenheim Leibniz Universität Hannover Hannover, Germany Frank McGroarty University of Southampton Southampton, UK
More information about this series at http://www.springer.com/series/14750
Valeriy Zakamulin
Market Timing with Moving Averages The Anatomy and Performance of Trading Rules
Valeriy Zakamulin School of Business and Law University of Agder Kristiansand Norway
New Developments in Quantitative Trading and Investment ISBN 978-3-319-60969-0 ISBN 978-3-319-60970-6 DOI 10.1007/978-3-319-60970-6
(eBook)
Library of Congress Control Number: 2017948682 © The Editor(s) (if applicable) and The Author(s) 2017 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Cover design by Samantha Johnson Printed on acid-free paper This Palgrave Macmillan imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
I dedicate this book to all technical traders, especially newcomers to the market, and hope that it helps them better understand the tools at their disposal.
Preface
Motivation for Writing this Book Over the course of the last decade, the author of this book has been interested in the stock return predictability which is one of the most controversial topics in financial research. The existence of stock return predictability is of great interest to both practitioners and academics alike. Traditionally, in finance literature the stock returns were predicted using various financial ratios and macroeconomic variables. Unfortunately, the evidence of stock return predictability by either financial ratios or macroeconomic variables is unconvincing. Technical ana
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