A consistent investment strategy

Xianzhe Chen and Weidong Tian

Journal of Investment Strategies

Abstract: This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend. This strategy is inspired by moving average trading rules in classical technical analysis and is shown to be optimal in a modern dynamic portfolio choice framework. We illustrate our strategy via both simulation (model) and walk- forward testing (market data).

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-investment-strateg ... -investment-strategy (text/html)

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:rsk:journ6:7061731

Access Statistics for this article

More articles in Journal of Investment Strategies from Journal of Investment Strategies
Bibliographic data for series maintained by Thomas Paine ().