Time series momentum and moving average trading rules

Title: Time series momentum and moving average trading rules
Creator: Marshall, Ben R.; Nguyen, Nhut H.; Visaltanachoti, Nuttawat
Relation: Quantitative Finance Vol. 17, Issue 3, p. 405-521
Publisher Link: http://dx.doi.org/10.1080/14697688.2016.1205209
Publisher: Routledge
Resource Type: journal article
Date: 2017
Description: We compare and contrast time series momentum (TSMOM) and moving average (MA) trading rules so as to better understand the sources of their profitability. These rules are closely related; however, there are important differences. TSMOM signals occur at points that coincide with a MA direction change, whereas MA buy (sell) signals only require price to move above (below) a MA. Our empirical results show MA rules frequently give earlier signals leading to meaningful return gains. Both rules perform best outside of large stock series which may explain the puzzle of their popularity with investors, yet lack of supportive evidence in academic studies.
Subject: technical analysis; time series momentum; moving average; return predictability
Identifier: http://hdl.handle.net/1959.13/1391585
Identifier: uon:33254
Identifier: ISSN:1469-7688
Rights: This is an Accepted Manuscript of an article published by Taylor and Francis in Quantitative Finance on 20 July 2016, available online: https://www.tandfonline.com/doi/full/10.1080/14697688.2016.1205209.
Language: eng
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