Dynamically Adjustable Moving Average (AMA’) technical analysis indicator to forecast Asian Tigers’ futures markets

Phooi M’ng, Jacinta Chan

Physica A: Statistical Mechanics and its Applications, 2018, vol. 509, issue C, 336-345

Abstract: To determine the predictability of futures time series, the daily stock market indices’ futures returns from the Asia Tigers countries, namely Hong Kong’s Hang Seng Futures (HSF), South Korea’s KOSPI Futures (KOSPIF), Singapore’s SiMSCI Futures (SiMSCIF) and Taiwan’s TAIEX Futures (TAIEXF) from 2006 to 2013 are examined for profitability results using technical analysis indicators. A dynamic volatility indicator, named Adjustable Moving Average (AMA’) is used as a trade timing devise to seek returns above the threshold buy and hold strategy. Using the information learnt during this in-sample period, further tests are conducted on an out-of-sample period, 2014–2015 to validate the viability of AMA’. AMA’ adjusts to the prevailing market conditions, to avoid some whipsaws (trading losses) in range trading and capture a larger portion of profit by entering into the new trends early. Using the trading signals from AMA’ and the other moving averages rules, evidence of returns after transaction costs above those of the threshold passive buy and hold strategy are found in these time series’ returns, especially more so for AMA’. The results here suggest that it is worthwhile to investigate the profitability of moving averages trading rules, especially the more adjustable ones.

Keywords: Automated algorithmic trading; Automated Adjustable Moving Average; Econophysics; Futures returns; Technical analysis indicators; Technical trading rules; Time series returns (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118307386
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:509:y:2018:i:c:p:336-345

DOI: 10.1016/j.physa.2018.06.010

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().