Advanced

Above average? – A study of moving average technical trading rules

Erlesand, Lenny LU and Örn, Philip (2010) NEKM01 20101
Department of Economics
Abstract
The thesis investigates whether moving average technical trading rules can be applied profitably to ETFs of a wide range of commodities and indices, as well as directly to these underlying assets. It concludes that moving average strategies are not profitable in general, yet there are a few which can achieve excess profits for certain assets. The results were statistically tested using the bootstrap method, which showed that most trading results were statistically significant. It is observed that a moving average strategy can no longer be applied profitably to emerging markets, which in previous research have been shown to be very receptive to technical trading.
Please use this url to cite or link to this publication:
author
Erlesand, Lenny LU and Örn, Philip
supervisor
organization
course
NEKM01 20101
year
type
H1 - Master's Degree (One Year)
subject
keywords
Efficient Market Hypothesis, Technical analysis, Moving average, Trading, Bootstrap, Exchange traded funds
language
English
id
1692405
date added to LUP
2010-10-14 13:17:37
date last changed
2010-10-14 13:17:37
@misc{1692405,
  abstract     = {The thesis investigates whether moving average technical trading rules can be applied profitably to ETFs of a wide range of commodities and indices, as well as directly to these underlying assets. It concludes that moving average strategies are not profitable in general, yet there are a few which can achieve excess profits for certain assets. The results were statistically tested using the bootstrap method, which showed that most trading results were statistically significant. It is observed that a moving average strategy can no longer be applied profitably to emerging markets, which in previous research have been shown to be very receptive to technical trading.},
  author       = {Erlesand, Lenny and Örn, Philip},
  keyword      = {Efficient Market Hypothesis,Technical analysis,Moving average,Trading,Bootstrap,Exchange traded funds},
  language     = {eng},
  note         = {Student Paper},
  title        = {Above average? – A study of moving average technical trading rules},
  year         = {2010},
}