Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy
Mohd Hasimi Yaacob,
Ahmad Husni Hamzah and
Yean Soh Chuen
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Afiruddin Tapa*: School of Economic, Finance and Banking, College of Business Universiti Utara Malaysia, Malaysia
Mohd Hasimi Yaacob: Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi, Selangor, Malaysia
Ahmad Husni Hamzah: Universiti Sultan Zainal Abidin, Terengganu, Malaysia
Yean Soh Chuen: Universiti Utara Malaysia Kuala Lumpur, Malaysia
The Journal of Social Sciences Research, 2018, 933-941 Special Issue: 6
This paper empirically analyses the Trading Performance by using technical analysis approach. The original moving-average (MA) crossover strategy as compare with the modified moving-average crossover strategy. The modified trading rules are the rules that been established to trading rules such as entry rule, exit rule, holding rule, and stop-loss rule. The results show The MAshort of 10-period for modified strategy underperform the original strategy, except for MA (10,100). The modified MA (20,200), (50,100), (50,200), and (100,200) underperform the original strategy. Only modified MA (20,50) and (20,100) outperform the original strategy. The outperformance and underperformance due to the stricter additional trading rule that reduces trading signals, and thus lower number of trades.
Keywords: Moving average crossover; Technical analysis; Trading strategies. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:arp:tjssrr:2018:p:933-941
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