Moving Averages

[-] "We conclude that the evidence favors the efficient market hypothesis, and find that the behavior of one-day rates of return on spot contracts resembles the behavior noted for other speculative prices."
Cornell and Dietrich (1976)

[+] "Overall our results provide strong support for the technical strategies that we explored."
Brock, Lakonishok and LeBaron (1992)

"Consequently, the paper recommends the use of flexible-parameter trading rules which adapt to changes in market conditions, instead of expecting the market to operate within the specifications of an unalterable set of rules."
Balsara, Carlson and Rao (1996)

"The concept - well known to practitioners - of moving average is recalled, and the one of adaptive moving average summarized. Then a new algorithm is introduced, and it is shown that statistical confidence limits are in favour of the thesys that such a method is able to make conistent profits on financial markets, specifically on future markets, where commissions are not important. This results are an obvious challenge to the efficient market hypothesis, if the necessity of another challenge should be felt."
Di Lorenzo (1996)

"Our results provide strong support for profitability of these technical trading rules."
Fern?a?ndez-Rodr?i?guez, Sosvilla-Rivero and Andrada-F?e?lix (1999)

"It is found that the most profitable rule is a double moving average with averages computed on one and five days."
Isakov and Hollistein (1999)

[+] Yeung, et al., 2002

"A comparison of two moving averages defines one of the rules most frequently mentioned in market literature."
"Brock et al. (1992) includes a statement that the most popular parameter combinations have S ≤ 5 and L ≥ 50.
Taylor (2005)