- Title
- Time series momentum and moving average trading rules
- Creator
- Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat
- Relation
- Quantitative Finance Vol. 17, Issue 3, p. 405-521
- Publisher Link
- http://dx.doi.org/10.1080/14697688.2016.1205209
- Publisher
- Routledge
- Resource Type
- journal article
- Date
- 2017
- Description
- We compare and contrast time series momentum (TSMOM) and moving average (MA) trading rules so as to better understand the sources of their profitability. These rules are closely related; however, there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical results show MA rules frequently give earlier signals leading to meaningful return gains. Both rules perform best outside of large stock series which may explain the puzzle of their popularity with investors, yet lack of supportive evidence in academic studies.
- Subject
- technical analysis; time series momentum; moving average; return predictability
- Identifier
- http://hdl.handle.net/1959.13/1391585
- Identifier
- uon:33254
- Identifier
- ISSN:1469-7688
- Rights
- This is an Accepted Manuscript of an article published by Taylor and Francis in Quantitative Finance on 20 July 2016, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2016.1205209.
- Language
- eng
- Full Text
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