Is smarter better? A comparison of adaptive, and simple moving average trading strategies |
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Authors: | Craig A. Ellis Simon A. Parbery |
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Affiliation: | School of Economics and Finance, University of Western Sydney, Locked Bag 1797, Penrith South DC, NSW 1797, Australia |
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Abstract: | This study examines the comparative performance of an Adaptive Moving Average (AMA) on the Australian All Ordinaries, Dow Jones Industrial Average, and Standard and Poor's 500 stock market indices. The theoretical advantage of the Adaptive Moving Average over fixed length Simple Moving Average (SMA) trading systems is its ability to automatically respond to changing market conditions dependant upon the level of volatility in the market. While the strategy is confirmed to have some market timing ability, the overall results show returns to the Adaptive Moving Average cannot compensate for the cost of trade therefore lending support for the use of a long run passive strategy. |
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Keywords: | Technical analysis Adaptive Moving Average |
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