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電子書籍詳細


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Market Timing with Moving Averages : The Anatomy and Performance of Trading Rules . 1st ed. 2017

(New Developments in Quantitative Trading and Investment)

Zakamulin, Valeriy

Palgrave Macmillan 2017/11
XXXII, 278 p. 64 illus.
出版国: CH
ISBN: 9783319609690
eISBN: 9783319609706
KNPID: EY00219521
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Full Description

This book provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.

Table of Contents

Part I: Anatomy of Trading Rules

Synopsis: Uncovers the anatomy of market timing rules based on moving averages of prices
Chapter 1. Introduction
Chapter 2. Moving Averages
Synopsis: This chapter presents all necessary information about different types of moving averages that are used in trading rules
1. Simple Moving Average
2. Linear Moving Average
3. Exponential Moving Average
4. Reverse Exponential Moving Averages
5. Moving Averages of Moving Averages: Double and Triple Exponential Moving Average
Chapter 3. Trading Rules
Synopsis: This chapter introduces different trading rules that are used by practitioners
1. Momentum Rule
2. Price-minus-Moving Average Rule
3. Change of Direction Rule
4. Moving Average Crossover
5. Moving Average Convergence Divergence
Chapter 4. Anatomy of Trading RulesSynopsis: This is the core chapter in the first part of the book. Here I uncover the anatomy of each trading rule coupled with some specific type of a moving average
1. Preliminaries
2. Momentum Rule
3. Price-minus-Moving Average Rule
4. Change of Direction Rule
5. Moving Average Crossover
6. Moving Average Convergence Divergence
Chapter 5. Summary and Conclusions
Synopsis: This chapter summarizes the information from the previous chapter and draws general conclusions
1. Generic Trading Rule
2. Alternative Construction of a Generic Trading Rule
Part II: Performance of Trading Rules
Synopsis: In this part of the book I present the most comprehensive and objective analysis of empirical performance of market timing rules based on moving averages
Chapter 1. Introduction
Chapter 2. Transaction Costs and the Returns to a Trading Strategy
Synopsis: This chapter informs about transaction costs and their impact on the returns to a trading strategy
Chapter 3. Performance measurement of a Trading Strategy
Synopsis: This chapter presents the information about the measurement of the performance of a trading strategy and how to test the hypothesis whether an active trading strategy outperforms the passive strategy
1. Mean returns
2. Risk-adjusted returns: Modigiliani-Modigiliani measure (M2) and Sharpe ratio
3. Statistical tests for outperformance
Chapter 3. Simulation of Trading Strategies
Synopsis: In this chapter I explain how to simulate objectively the returns to a trading strategy
1. In-Sample Simulation of a trading strategy
2. Out-of-Sample Simulation of a trading strategy
2.1 Splitting the total sample in two segments
2.2 Rolling and Expanding window estimation schemes
3. Adaptive approach to selecting a trading rule in out-of-sample tests
Chapter 4. Case Study: Historical Performance of Trading Rules on the S&P Composite Index
Synopsis: This is the core chapter in the second part of the book where I present the most comprehensive analysis of historical empirical performance of different trading rules using the longest historical period of 155 years
1. Data
1.1 Construction of 155 Year Historical Data
1.2 Bull and Bear Cycles in the Stock Market
1.3 Test for Structural Breaks in Data
2. Historical Performance of the Most Typical Trading Rules
2.1 The set of rules
2.2 Time variations in the optimal size of the averaging window
2.2 Performance over Bull and Bear Markets Separately
2.3 Measuring Similarity Between Bull-Bear Markets and Buy-Sell Trading Signals
2.4 Performance over Interchanging Bull and Bear Markets
2.5 Performance over short- to medium-term horizons
3. Historical Performance of Various Weighting Schemes
3.1 Best performing weighting scheme
3.2 Adaptive selection of the best weighting scheme
3.3 Robust weighting scheme
Chapter 5. Case Study: Historical Performance of Trading Rules on Other Financial Indices
Synopsis: In this chapter I briefly evaluate the historical empirical performance of different trading rules using data on a set of different financial indices. The historical data in this chapter are much shorter than in the previous chapter and spans periods of maximum 90 years (beginning from 1926)
1. The set of indices
2. Historical performance of trading rules
Chapter 6. Summary and Conclusions
Synopsis: This final chapter in the second part of the book summaries and draws general conclusion on the historical performance of trading rules based on moving averages