In this paper we extend the methodology of our earlier work (Papailias and Thomakos, 2011) on a modified moving average technical trading rule by allowing short sales. We show how short sales change the trading rule which now acts as a dynamic trailing "stop-and-reverse", instead of a dynamic...

This paper proposes a modified version of the widely used price and moving average cross-over trading strategies. The suggested approach (presented in its 'long only' version) is a combination of cross-over 'buy' signals and a dynamic threshold value which acts as a dynamic trailing stop. The...

A reversal pattern in the time series context from 12 to 24 months after the formation of trend following signals is observed in a universe of 55 liquid futures instruments. We find that instruments with sell signals in the trend following portfolio (i.e. "losers") contribute to this type of...

A new type of momentum based on the signs of past returns is introduced. This momentum is driven primarily by sign dependence, which is positively related to average return and negatively related to return volatility. An empirical application using a universe of commodity and financial futures...

We propose a novel way to assess information processing in a complex environment of market fragmentation. We take a different angle from the price discovery literature, and investigate information processing in the stochastic process driving stock's volatility (volatility discovery). We show...

A modified version of, perhaps, the most widely used technical trading strategy – moving averages – is discussed in this article. The suggested approach combines cross-over "buy" signals and a dynamic threshold value which acts as a trailing stop. The trading behaviour and performance...