An Improved Moving Average Technical Trading Rule
Fotis Papailiasy & Dimitrios D. Thomakosz
This version: October 12, 2011
Abstract
This paper proposes a modied version of the widely used price and moving average cross-over trading
strategies. The suggested approach (presented in its long only' version1) is a combination of cross- over buy’ signals and a dynamic threshold value which acts as a dynamic trailing stop. The trading
behavior and performance from this modied strategy is dierent from the standard approach with
results showing that, on average, the proposed modication increases the cumulative return and the
Sharpe ratio of the investor while exhibiting smaller maximum drawdown and smaller drawdown
duration than the standard strategy.
(My take): The simple MA crossover rules discussed in these two papers aren’t particularly quantitative in nature contrary to the thread title, but if someone is determined to follow plain old TA, then using a breakeven stop at entry (first paper) or SAR at entry may reduce drawdowns experienced from a traditional MA crossover system. But none of that is particularly quantitative in nature.
And to the OP: starting multiple threads in the same forum with misleading subjects isn’t cool. It is known as spamming.
To the traders reading this post: If the OP were actually here to help traders he would have posted the link I posted above, and explained the basics of the strategy (as I did) rather than trying to get people to contact him offline, and attempting to make himself appear to be a quant trader through the use of sockpuppeting while leaning on someone else’s work (the papers cited).
Thanks for the summary. As they say, time is money, and I think most traders on Babywips weren’t willing to spend time dissecting an obscure academic paper from a stranger.
