Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market
This study examined the profitability of technical analysis using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity market. We investigates the performance of the original moving-average strategy and a modified moving-average...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2016-11-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/3598 |
| _version_ | 1797908259341860864 |
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| author | Afiruddin Tapa Soh Chuen Yean Shahrul Nizam Ahmad |
| author_facet | Afiruddin Tapa Soh Chuen Yean Shahrul Nizam Ahmad |
| author_sort | Afiruddin Tapa |
| collection | DOAJ |
| description |
This study examined the profitability of technical analysis using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity market. We investigates the performance of the original moving-average strategy and a modified moving-average crossover strategy with additional trading rules such as entry rule, exit rule, holding rule, and stop-loss rule. The results are consistent to previous studies that strongly support moving-average crossover trading strategies. The result suggests that all combinations of short-MA and long-MA periods of the original MA crossover strategy and majority combinations of short-MA and long-MA of the modified MA crossover strategy outperform market benchmark with higher risk-adjusted return. In addition, the 1-period short-MA demonstrates the best return in both original and modified moving-average crossover strategy; better still the modified strategy outperforms the original strategy with lower frequency of trades which could largely reduce transaction costs and with lower return distribution variability.
Keywords: Technical Analysis, Moving-Average Crossover, Trading Strategies
JEL Classifications: G1, G12
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| first_indexed | 2024-04-10T10:49:54Z |
| format | Article |
| id | doaj.art-7ad88f63af7a4e189ef8428c6b0a12e1 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:49:54Z |
| publishDate | 2016-11-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7ad88f63af7a4e189ef8428c6b0a12e12023-02-15T16:20:10ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-11-0167SModified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity MarketAfiruddin TapaSoh Chuen YeanShahrul Nizam Ahmad This study examined the profitability of technical analysis using moving-average (MA) crossover strategy compared with the conventional simple buy-and-hold strategy, using Malaysian equity market. We investigates the performance of the original moving-average strategy and a modified moving-average crossover strategy with additional trading rules such as entry rule, exit rule, holding rule, and stop-loss rule. The results are consistent to previous studies that strongly support moving-average crossover trading strategies. The result suggests that all combinations of short-MA and long-MA periods of the original MA crossover strategy and majority combinations of short-MA and long-MA of the modified MA crossover strategy outperform market benchmark with higher risk-adjusted return. In addition, the 1-period short-MA demonstrates the best return in both original and modified moving-average crossover strategy; better still the modified strategy outperforms the original strategy with lower frequency of trades which could largely reduce transaction costs and with lower return distribution variability. Keywords: Technical Analysis, Moving-Average Crossover, Trading Strategies JEL Classifications: G1, G12 https://www.econjournals.com/index.php/ijefi/article/view/3598 |
| spellingShingle | Afiruddin Tapa Soh Chuen Yean Shahrul Nizam Ahmad Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market International Journal of Economics and Financial Issues |
| title | Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market |
| title_full | Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market |
| title_fullStr | Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market |
| title_full_unstemmed | Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market |
| title_short | Modified Moving-average Crossover Trading Strategy: Evidence in Malaysia Equity Market |
| title_sort | modified moving average crossover trading strategy evidence in malaysia equity market |
| url | https://www.econjournals.com/index.php/ijefi/article/view/3598 |
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