Is smarter better? A comparison of adaptive, and simple moving average trading strategies
Is smarter better? A comparison of adaptive, and simple moving average trading strategies
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DOI：
10.1016/j.ribaf.2004.12.009
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发表时间：
2005-09-01
影响因子：
6.5
通讯作者：
Parbery, Simon A.
中科院分区：
文献类型：
--
作者：
Ellis, Craig A.;Parbery, Simon A.
本研究考察了自适应移动平均线（AMA）对澳大利亚所有普通股，道琼斯工业平均指数和标准普尔500股票市场指数的比较表现。自适应移动平均线相对于固定长度的简单移动平均线（SMA）交易系统的理论优势在于，它能够根据市场的波动水平自动响应不断变化的市场条件。虽然该策略被证实具有一定的市场时机选择能力，但总体结果显示自适应移动平均线的回报无法补偿交易成本，因此支持使用长期被动策略。(C)2005年爱思唯尔B。V.保留所有权利。
This study examines the comparative performance of an Adaptive Moving Average ( AMA) on the Australian All Ordinaries, Dow Jones Industrial Average, and Standard and Poor's 500 stock market indices. The theoretical advantage of the Adaptive Moving Average over fixed length Simple Moving Average (SMA) trading systems is its ability to automatically respond to changing market conditions dependant upon the level of volatility in the market. While the strategy is confirmed to have some market timing ability, the overall results show returns to the Adaptive Moving Average cannot compensate for the cost of trade therefore lending support for the use of a long run passive strategy. (C) 2005 Elsevier B. V. All rights reserved.