Is smarter better? : a comparison of adaptive and simple moving average trading strategies

Craig Ellis, Simon A. Parbery

    Research output: Contribution to journalArticle

    85 Citations (Scopus)

    Abstract

    This study examines the comparative performance of an Adaptive Moving Average (AMA) on the Australian All Ordinaries, Dow Jones Industrial Average, and Standard and Poor's 500 stock market indices. The theoretical advantage of the Adaptive Moving Average over fixed length Simple Moving Average (SMA) trading systems is its ability to automatically respond to changing market conditions dependant upon the level of volatility in the market. While the strategy is confirmed to have some market timing ability, the overall results show returns to the Adaptive Moving Average cannot compensate for the cost of trade therefore lending support for the use of a long run passive strategy.
    Original languageEnglish
    Number of pages13
    JournalResearch in International Business and Finance
    Publication statusPublished - 2005

    Keywords

    • Adaptive Moving Average
    • technical analysis

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