Market timing with Moving Averages PDF

Market timing with Moving Averages PDF

Market timing with Moving Averages PDF- The Anatomy and Performance of Trading Rules (New Developments in Quantitative Trading and Investment) provides a comprehensive guide to market timing using moving averages.

Category: Stock

Author: Valeriy Zakamulin

Language: English

Free Download link: At the end of the post


Market timing with Moving Averages PDF provides a comprehensive guide to market timing using moving averages. Part I explores the foundations of market timing rules, presenting a methodology for examining how the value of a trading indicator is computed. Using this methodology the author then applies the computation of trading indicators to a variety of market timing rules to analyse the commonalities and differences between the rules. Part II goes on to present a comprehensive analysis of the empirical performance of trading rules based on moving averages.


Given the increasing popularity of trading with moving averages, we thought of writing this book in order to overcome the shortcomings of existing books and give the readers the most comprehensive and objective information about this topic. Specifically, the goals of this book are threefold:

  • 1. Provide the in-depth coverage of various types of moving averages, their properties, and technical trading rules based on moving averages.
  • 2. Uncover the anatomy of market timing rules with moving averages and offer a new and very insightful reinterpretation of the existing rules.
  • 3. Revisit the myths regarding the superior performance of moving average trading rules and provide the reader with the most objective assessment of the profitability of these rules in different financial markets.

This book is composed of four parts and a concluding chapter; each part consists of two or three chapters:

Part I: This part provides the in-depth coverage of various types of moving averages and their properties.

Part II: This part reviews the technical trading rules based on moving averages and uncovers the anatomy of these rules.

Part III: In this part, we present our methodology for how to scientifically test the claim that one can beat the market by using moving average trading rules.

Part IV: This part contains case studies of profitability of moving average trading rules in different financial markets.

This book is not for a layman who believes that moving averages offer a simple, quick, and easy way to riches. This book is primarily intended for a serious and mathematically minded reader who wants to get an in-depth knowledge of the subject. Even though, for the sake of completeness of exposition, we briefly cover all relevant theoretical topics, we do not explain the basic financial terminology, notions, and jargons. Therefore, this book is best suited for the reader with an MS degree in economics or business administration who is familiar with basic concepts in investments and statistics. Examples of such readers are academics, students at economic departments, and practitioners (portfolio managers, quants, traders, etc.).

This book is, in principle, also suited for self-study by strongly motivated readers without prior exposure to finance theory, but in this case the book should be supplemented by an introductory textbook on investments at least.

Table of Contents- Market timing with Moving Averages PDF

Part I Moving Averages
1 Why Moving Averages?
2 Basics of Moving Averages 11
3 Types of Moving Averages 23

Part II Trading Rules and Their Anatomy
4 Technical Trading Rules
5 Anatomy of Trading Rules 71

Part III Performance Testing Methodology
6 Transaction Costs and Returns to a Trading Strategy
7 Performance Measurement and Outperformance Tests 111
8 Testing Profitability of Technical Trading Rules 129

Part IV Case Studies
9 Trading the Standard and Poor
s Composite Index 143
10 Trading in Other Financial Markets 223
11 Conclusion 265
Index 275


“Professor Zakamulin’s new book, Market Timing with Moving Averages, on the calculation and use of moving averages in the timing of investment transactions is unquestionably the most valuable description and summary available today of a method frequently used but poorly understood.  Because moving averages are such an important component of so many technical indicators, trading and investment students, irrespective of their expertise, should read and own this book.”
Charles D. Kirkpatrick II, CMT, president of Kirkpatrick & Company, Inc., and author of numerous books on technical analysis of financial markets

“Looking for deep knowledge into trend-following? Look no further.  ​​Market Timing with Moving Averages is the definitive source. Check it out!”
Wesley R. Gray, Ph.D., CEO of Alpha Architect andco-author of ​​”Quantitative Momentum”

“Professor Zakamulin has written a much-needed comprehensive guide to market timing rules using eight types of moving averages, as well as related methods like MACD and the momentum rule. His thorough analysis applied to stock indices, bonds,currencies, and commodities clearly shows that trend following offers advantages after trading costs. It can protect one from loses when needed most and is a prudent investment strategy for medium and long-term investors. This is a landmark book that should help improve both academic and practitioner perception regarding the efficacy of trend following methods.”
Gary Antonacci, author of “Dual Momentum Investing: An Innovative Strategy forHigher Returns with Lower Risk”

“The new book byProf. Zakamulin is a must read for all traders and professionals in finance. Ihad the privilege of being asked to comment on the material and I am sure thiswill become the moving average reference standard. Especially, the informationon statistical hypothesis tests is important and substantial.”
Michael Harris, developer of “Deep Learning Price Action LabSoftware” and author of several books on technical trading

About the author

Valeriy Zakamulin  is Professor of Finance at the School of Business and Law, University of Agder, Norway, where he teaches graduate courses in Finance. His first graduate academic degree is an MS in Radio Engineering.

After receiving this degree, Valeriy Zakamulin had been working for many years as a research fellow at a computer science department, developing both computer hardware and software. Later on, Valeriy Zakamulin received an MS in Economics and Business Administration and a Ph.D. in Finance. He has published more than 30 articles in various refereed academic and practitioner journals and is a frequent speaker at international conferences. He has also served on editorial boards of several economics and finance journals. His current research interests cover behavioral finance, portfolio optimization, time-series analysis of financial data, financial asset return and risk predictability, and technical analysis of financial markets.

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