Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market

Yıl 2016, Cilt: 6 Sayı: 7, 149 - 153, 01.10.2016

Afiruddin Tapa Soh Chuen Yean Shahrul Nizam Ahmad

Öz

This study examined the profitability of technical analysis using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity market. We investigates the performance of the original moving-average strategy and a modified moving-average crossover strategy with additional trading rules such as entry rule, exit rule, holding rule, and stop-loss rule. The results are consistent to previous studies that strongly support moving-average crossover trading strategies. The result suggests that all combinations of short-MA and long-MA periods of the original MA crossover strategy and majority combinations of short-MA and long-MA of the modified MA crossover strategy outperform market benchmark with higher risk-adjusted return. In addition, the 1-period short-MA demonstrates the best return in both original and modified moving-average crossover strategy; better still the modified strategy outperforms the original strategy with lower frequency of trades which could largely reduce transaction costs and with lower return distribution variability.

Anahtar Kelimeler

Technical Analysis, Moving-Average Crossover, Trading Strategies