The Profitability of Five Popular Variations of Moving Averages on Indian Market Index S&P CNX Nifty 50 During January 2004-December 2014
Advances in Economics and Business Management, Feb. 2015
7 Pages Posted: 30 Jan 2015 Last revised: 24 Mar 2015
Date Written: January 29, 2015
This research paper aims to investigate the profitability of five popular variations of moving averages: simple (also referred to as arithmetic), exponential, triangular, variable, and weighted as the main tool of technical analysis on the end of the day data on Indian market index S&P CNX Nifty 50 from January 2004 to December 2014. Moving averages performance is checked with three basic rules of trading using moving average, first with direction of moving average, second with price & moving average crossover and third rule is crossover of two moving averages of different period. An optimization technique is used to find the most profitable trading system among all the moving averages. The results show that trading rules based short term moving average generate more profit with less drawdown and outperform buy-and-hold strategy for almost all type of moving averages.
Keywords: technical analysis, moving average, trading, strategy, nifty
JEL Classification: G170, G150, G110, G100, G120, G1, G00, G2, G3, G14, G10, G11, F65, C01, C53, G17
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