Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies.
The objective of this research is to examine the trends in the exchange rate markets of the ASEAN-5 countries (Indonesia (IDR), Malaysia (MYR), the Philippines (PHP), Singapore (SGD), and Thailand (THB)) through the application of dynamic moving average trading systems. This research offers evidence...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2016-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5004863?pdf=render |
| _version_ | 1818990402906095616 |
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| author | Jacinta Chan Phooi M'ng Rozaimah Zainudin |
| author_facet | Jacinta Chan Phooi M'ng Rozaimah Zainudin |
| author_sort | Jacinta Chan Phooi M'ng |
| collection | DOAJ |
| description | The objective of this research is to examine the trends in the exchange rate markets of the ASEAN-5 countries (Indonesia (IDR), Malaysia (MYR), the Philippines (PHP), Singapore (SGD), and Thailand (THB)) through the application of dynamic moving average trading systems. This research offers evidence of the usefulness of the time-varying volatility technical analysis indicator, Adjustable Moving Average (AMA') in deciphering trends in these ASEAN-5 exchange rate markets. This time-varying volatility factor, referred to as the Efficacy Ratio in this paper, is embedded in AMA'. The Efficacy Ratio adjusts the AMA' to the prevailing market conditions by avoiding whipsaws (losses due, in part, to acting on wrong trading signals, which generally occur when there is no general direction in the market) in range trading and by entering early into new trends in trend trading. The efficacy of AMA' is assessed against other popular moving-average rules. Based on the January 2005 to December 2014 dataset, our findings show that the moving averages and AMA' are superior to the passive buy-and-hold strategy. Specifically, AMA' outperforms the other models for the United States Dollar against PHP (USD/PHP) and USD/THB currency pairs. The results show that different length moving averages perform better in different periods for the five currencies. This is consistent with our hypothesis that a dynamic adjustable technical indicator is needed to cater for different periods in different markets. |
| first_indexed | 2024-12-20T19:53:49Z |
| format | Article |
| id | doaj.art-6e53f0efa1484be1be11c21b90096d34 |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-12-20T19:53:49Z |
| publishDate | 2016-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-6e53f0efa1484be1be11c21b90096d342022-12-21T19:28:12ZengPublic Library of Science (PLoS)PLoS ONE1932-62032016-01-01118e016093110.1371/journal.pone.0160931Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies.Jacinta Chan Phooi M'ngRozaimah ZainudinThe objective of this research is to examine the trends in the exchange rate markets of the ASEAN-5 countries (Indonesia (IDR), Malaysia (MYR), the Philippines (PHP), Singapore (SGD), and Thailand (THB)) through the application of dynamic moving average trading systems. This research offers evidence of the usefulness of the time-varying volatility technical analysis indicator, Adjustable Moving Average (AMA') in deciphering trends in these ASEAN-5 exchange rate markets. This time-varying volatility factor, referred to as the Efficacy Ratio in this paper, is embedded in AMA'. The Efficacy Ratio adjusts the AMA' to the prevailing market conditions by avoiding whipsaws (losses due, in part, to acting on wrong trading signals, which generally occur when there is no general direction in the market) in range trading and by entering early into new trends in trend trading. The efficacy of AMA' is assessed against other popular moving-average rules. Based on the January 2005 to December 2014 dataset, our findings show that the moving averages and AMA' are superior to the passive buy-and-hold strategy. Specifically, AMA' outperforms the other models for the United States Dollar against PHP (USD/PHP) and USD/THB currency pairs. The results show that different length moving averages perform better in different periods for the five currencies. This is consistent with our hypothesis that a dynamic adjustable technical indicator is needed to cater for different periods in different markets.http://europepmc.org/articles/PMC5004863?pdf=render |
| spellingShingle | Jacinta Chan Phooi M'ng Rozaimah Zainudin Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. PLoS ONE |
| title | Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. |
| title_full | Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. |
| title_fullStr | Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. |
| title_full_unstemmed | Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. |
| title_short | Assessing the Efficacy of Adjustable Moving Averages Using ASEAN-5 Currencies. |
| title_sort | assessing the efficacy of adjustable moving averages using asean 5 currencies |
| url | http://europepmc.org/articles/PMC5004863?pdf=render |
| work_keys_str_mv | AT jacintachanphooimng assessingtheefficacyofadjustablemovingaveragesusingasean5currencies AT rozaimahzainudin assessingtheefficacyofadjustablemovingaveragesusingasean5currencies |