Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules

by Valeriy Zakamulin

This book 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.

310 pages, Hardcover

Published December 4, 2017

Reviews

[Donovan · Rating 5 out of 5]

Very detailed evaluation of trend-following strategies. Does a good job covering everything from basic financial theory and statistical methods to the applied performance of trend-following rules. Valeriy is very careful to avoid common errors that other researchers make and clearly illustrates some basic yet extremely important and overlooked considerations regarding proper empirical research.

I wish the performance of trading multiple assets at once was covered. The performance of trend-following was only evaluated on an asset-by-asset basis. It would be helpful to show the performance of a diversified trend-following strategy.

I don't have many bad things to say about this book. It would be my first recommendation to those interested in trend-following.

[Norman Zak · Rating 5 out of 5]

Excellent book on moving averages.

[Nikolaj Stenberg · Rating 4 out of 5]

Incredibly technical, math-first approach to the ins and outs of moving averages. Great.