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Performance Sensitivity

In: Market Timing and Moving Averages

Author

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  • Paskalis Glabadanidis

Abstract

In this section, I report the results of several robustness checks performed on the previously reported empirical findings. First, I show evidence of the MA strategy performance in two subperiods of equal length. Second, I show how the MA strategy performs when various lag lengths are used. Third, I report the intensity of trading, the BETC, the probability of being on the right side of the market, and the statistical significance of the mean return and standard deviation improvement. Finally, I also report how the number of trades and the BETC vary with alternative lengths of the MA.

Suggested Citation

  • Paskalis Glabadanidis, 2015. "Performance Sensitivity," Palgrave Macmillan Books, in: Market Timing and Moving Averages, chapter 0, pages 51-155, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-35983-4_4
    DOI: 10.1057/9781137359834_4
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