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A consistent investment strategy

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  • Xianzhe Chen
  • Weidong Tian

Abstract

This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend. This strategy is inspired by moving average trading rules in classical technical analysis and is shown to be optimal in a modern dynamic portfolio choice framework. We illustrate our strategy via both simulation (model) and walk- forward testing (market data).

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Handle: RePEc:rsk:journ6:7061731
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