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Abstract
This article examines the risk-adjusted returns from a commonly used technical trading strategy. The author back tests a “simple moving average strategy” over a period of several decades on various commodities, currencies, and country stock indices. The results show that applying this strategy has provided before-tax returns comparable to, or better than, a buy-and-hold strategy, but with much less downside volatility. In addition, the article shows the strategy to be to be compatible with the concept of diversification: It lowers volatility significantly when applied to portfolios composed of multiple securities combined.
TOPICS: Technical analysis, commodities, currency, global
- © 2012 Pageant Media Ltd
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