Improved Moving Average?
When
@quantfblog started following me on Twitter, I was delighted to discover their papers
Papailias,
Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical
Trading Rule (September 11, 2011). Available at SSRN:
http://ssrn.com/abstract=1926376
Papailias,
Fotis and Thomakos, Dimitrios D., An Improved Moving Average Technical
Trading Rule II - Can We Obtain Performance Improvements with Short
Sales? (November 12, 2011). Available at SSRN:
http://ssrn.com/abstract=1958906
backed by a nice and improving website
http://www.quantf.com.
I just could not resist the opportunity to port their improved moving
average idea to R and run some additional tests. The entire process was
extremely pleasant due to the authors’ willingness to test, comment,
and suggest throughout the implementation process. Thanks so much to
them for all their help.
In this process, I AM NOT OFFERING
INVESTMENT ADVICE. THIS IS SIMPLY A TEST/ILLUSTRATION. PURSUING THESE
CONCEPTS WILL MOST LIKELY LOSE SIGNIFICANT AMOUNTS (ALL) OF YOUR MONEY.
For fun, I thought it would be interesting to compare the "Improved Moving Average" to a
Mebane Faber style 10-month moving average system.
