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Adjustable-band moving average learning strategies for technical analysis: evidence from the Dow Jones Industrial Average

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  • Daniel Svogun
  • Valentinas Rudys

Abstract

In this paper, we propose a unique moving average (MA) band parameter optimization algorithm. By comparing its performance with standard fixed-band trade rules, we show that adjustable band parameter MA rules provide relatively superior returns. We find the better performance of adjustable band trade rules in cases of high long-period moving average rules and in periods of general price decline. We provide evidence that average optimal adjustable bands have remained fairly constant in the DJIA for several decades, and that both standard MA technical analysis (TA) and band-optimization TA perform well in periods of price decline.

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  • Daniel Svogun & Valentinas Rudys, 2024. "Adjustable-band moving average learning strategies for technical analysis: evidence from the Dow Jones Industrial Average," Applied Economics, Taylor & Francis Journals, vol. 56(50), pages 6221-6230, October.
    • Handle: RePEc:taf:applec:v:56:y:2024:i:50:p:6221-6230
    DOI: 10.1080/00036846.2023.2269632
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