The real-life performance of market timing with moving average and time-series momentum rules
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DOI: 10.1057/jam.2014.25
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Cited by:
- Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
- Shangkun Deng & Haoran Yu & Chenyang Wei & Tianxiang Yang & Shimada Tatsuro, 2021. "The profitability of Ichimoku Kinkohyo based trading rules in stock markets and FX markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5321-5336, October.
- Zakamulin, Valeriy & Giner, Javier, 2022. "Time series momentum in the US stock market: Empirical evidence and theoretical analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Yafeng Qin & Guoyao Pan & Min Bai, 2020. "Improving market timing of time series momentum in the Chinese stock market," Applied Economics, Taylor & Francis Journals, vol. 52(43), pages 4711-4725, September.
- Valeriy Zakamulin & Javier Giner, 2020. "Trend following with momentum versus moving averages: a tale of differences," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 985-1007, June.
- Yizhan Shu & John M. Mulvey, 2024. "Dynamic Factor Allocation Leveraging Regime-Switching Signals," Papers 2410.14841, arXiv.org.
- Inoua, Sabiou M. & Smith, Vernon L., 2023.
"A classical model of speculative asset price dynamics,"
Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
- Sabiou M. Inoua & Vernon L. Smith, 2021. "A Classical Model of Speculative Asset Price Dynamics," Working Papers 21-21, Chapman University, Economic Science Institute.
- Sabiou Inoua & Vernon Smith, 2023. "A Classical Model of Speculative Asset Price Dynamics," Papers 2307.00410, arXiv.org.
- Hubert Dichtl, 2020. "Investing in the S&P 500 index: Can anything beat the buy‐and‐hold strategy?," Review of Financial Economics, John Wiley & Sons, vol. 38(2), pages 352-378, April.
- Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
- Afiruddin Tapa* & Mohd Hasimi Yaacob & Ahmad Husni Hamzah & Yean Soh Chuen, 2018. "Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 933-941:6.
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Keywords
technical analysis; market timing; simple moving average; time-series momentum; out-of-sample testing;All these keywords.
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