Detailed study of a moving average trading rule
Year of publication: |
September 2018
|
---|---|
Authors: | Ferreira, Fernando F. ; Silva, A. Christian ; Yen, Ju-Yi |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 9, p. 1599-1617
|
Subject: | Momentum strategies | Reversal strategies | Moving averages | Sharpe ratio | Trading strategies | Investment strategies | Time series analysis | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Zeitreihenanalyse | Wertpapierhandel | Securities trading | Aktienmarkt | Stock market | Finanzanalyse | Financial analysis | Stochastischer Prozess | Stochastic process |
-
Simple market timing with moving averages
Ilomäki, Jukka, (2018)
-
The real-life performance of market timing with moving average and time-series momentum rules
Zakamulin, Valeriy, (2014)
-
Time-Series Momentum versus Moving Average Trading Rules
Marshall, Ben R., (2015)
- More ...
-
Information ratio analysis of momentum strategies
Ferreira, Fernando F., (2014)
-
Detailed Study of a Moving Average Trading Rule
Ferreira, Fernando, (2019)
-
Information Ratio Analysis of Momentum Strategies
Ferreira, Fernando, (2015)
- More ...