An Improved Moving Average Technical Trading Rule
http://papers.ssrn.com/abstract=1926376
All the empirical results of the paper can be found in the .rar archive.
DONWLOAD – CLICK HERE (1.08 MB)
An Improved Moving Average Technical Trading Rule II
Can we obtain performance improvements with short sales?
http://ssrn.com/abstract=1958906
All the empirical results of the paper can be found in the .rar archive.
DONWLOAD – CLICK HERE (1.23MB)
An Improved Moving Average Technical Trading Rule: Files Description
There are three folders that contain: 1) the datasets, 2) the raw results for the trading strategies and 3) synopsis tables that are in the same format as in the paper.
The trading rules include: Simple MA, Weighted MA, Exponential MA, Wilder’s MA in their standard and modified versions for different length pairs and different evaluation periods.
We provide results for the following series:
ETFs (01/04/1999 − 11/12/2010)
- SPY
- VTI
- BND
- OIH
- XLF
- QQQQ
- EEM
- XLE
- GLD
- FXI
- EWJ
- IYR
- XRT
FOREX (01/03/2000 − 04/13/2011)
- EURUSD
- USDJPY
- USDCHF
- GBPUSD
- EURGBP
- EURJPY
- EURCHF
Indices
- DAX (11/26/1990 – 09/02/2011)
- DJIA (10/01/1928 – 09/02/2011)
- FTSE100 (06/20/1986 – 09/02/2011)
- NASDAQ100 (06/20/1986 – 09/02/2011)
- NIKKEI (06/20/1986 – 09/02/2011)
- SP500 (01/03/1950 – 09/02/2011)
An Improved Moving Average Technical Trading Rule II: Files Description
There are three folders that contain: 1) the datasets, 2) the raw results for the trading strategies and 3) synopsis tables that are in the same format as in the paper. We also provide long-only and long/short performance tables in the synopsis folder.
The trading rules include: Simple MA, Weighted MA, Exponential MA, Wilder’s MA in their standard and modified versions for different length pairs and different evaluation periods.
We provide results for the following series:
ETFs (01/04/1999 − 11/12/2010)
- SPY
- QQQQ
- XLE
- EWJ
FOREX (01/03/2000 − 04/13/2011)
- EURUSD
- USDJPY
- USDCHF
- GBPUSD
- EURGBP
- EURJPY
- EURCHF
On the etf.xls raw data file what does “MA1-crit” what does the “crit” mean?
Thanks
Hi Gregg,
Thank you very much for your comment. Following the “readme.txt” that accompanies the above files (is included in the .rar), wherever you see “crit” is the strategy using our modification, using our criteria (crit stands for criterion).
If you have any question please feel free to ask my at any time.
I hope you enjoy!
Thanks,
Fotis