Market Timing with Moving Averages

Part I: Anatomy of Trading Rules Synopsis: Uncovers the anatomy of market timing rules based on moving averages of prices
Chapter 1. Introduction
Chapter 2. Moving Averages
Synopsis: This chapter presents all necessary information about different types of moving averages that are used in trading rules
1. Simple Moving Average
2. Linear Moving Average 3. Exponential Moving Average 4. Reverse Exponential Moving Averages 5. Moving Averages of Moving Averages: Double and Triple Exponential Moving Average Chapter 3. Trading Rules Synopsis: This chapter introduces different trading rules that are used by practitioners
1. Momentum Rule
2. Price-minus-Moving Average Rule 3. Change of Direction Rule 4. Moving Average Crossover 5. Moving Average Convergence Divergence Chapter 4. Anatomy of Trading RulesSynopsis: This is the core chapter in the first part of the book. Here I uncover the anatomy of each trading rule coupled with some specific type of a moving average
1. Preliminaries
trading strategy outperforms the passive strategy
1. Mean returns
2. Risk-adjusted returns: Modigiliani-Modigiliani measure (M2) and Sharpe ratio 3. Statistical tests for outperformance Chapter 3. Simulation of Trading Strategies Synopsis: In this chapter I explain how to simulate objectively the returns to a trading strategy
1. In-Sample Simulation of a trading strategy
2. Out-of-Sample Simulation of a trading strategy 2.1 Splitting the total sample in two segments 2.2 Rolling and Expanding window estimation schemes 3. Adaptive approach to selecting a trading rule in out-of-sample tests Chapter 4. Case Study: Historical Performance of Trading Rules on the S&P Composite Index Synopsis: This is the core chapter in the second part of the book where I present the most comprehensive analysis of historical empirical performance of different trading rules using the longest historical period of 155 years
1. Data
1.1 Construction of 155 Year Historical Data 1.2 Bull and Bear

Valeriy Zakamulin is Professor of Finance at the School of Business and Law, University of Agder, Norway. He has an M.S. in Business Administration and a PhD in Finance from the Norwegian School of Economics, Norway. He has published articles for various refereed academic and practitioner journals and is a frequent speaker at international conferences. He has also served on the Editorial Board of the Open Economics Journal, Journal of Banking and Finance, and International Journal of Emerging Markets. His current research interests cover behavioral finance, portfolio optimization, time-series analysis of financial data, and stock return and risk predictability.