Detailed study of a moving average trading rule

DOI10.1080/14697688.2017.1417621zbMath1483.91221arXiv1907.00212OpenAlexW2791387620MaRDI QIDQ5026541

Ju-Yi Yen, A. Christian Silva, Fernando Fagundes Ferreira

Publication date: 8 February 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.00212

zbMATH Keywords

time series analysismoving averagesSharpe ratiotrading strategiesmomentum strategiesinvestment strategiesreversal strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Uses Software

• R
• fpp

Cites Work

• Unnamed Item
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