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Improved Moving Average (IMA) Strategies

 


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Improved Moving Average (IMA) Strategies

Fotis Papailias & Dimitrios D. Thomakos

Market Technician, Journal of the Society of Technical Analysts
Issue 72, May 2012, pages 12-17


Abstract. 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 achieved using this modified strategy i sdifferent to the standard approach with results showing that, on average, the proposed modification increases the cumulative return and the Sharpe ratio of the investor while exhibiting smaller maximum drawdown and less of a drawdown duration than that obtained by using the standard moving average strategy.

Keywords. Moving average, Trading Rules, Stop loss, Trailing stop

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F. Papailias - D. Thomakos, (c) 2014
 
 
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