Technical Trading ETFs in the 21st Century
نویسندگان
چکیده
This paper tested the effectiveness of popular trading rule based on 50-day and 200-day moving averages two ETFs: QQQ SPY using daily weekly data. We find that for both data, shows good results entire sample. When we introduce subperiods by decades, technical rules only work around 50% time. explored performance shorter 2.5 years, found a strong correlation between realized volatility (standard deviation returns) active strategies. To take advantage this correlation, modified basic average strategy so will be invested in asset when is low but employ MA increases. strategies improved considered. Overall evidence supports continued usage analysis as protective tool high periods.
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ژورنال
عنوان ژورنال: The journal of applied business and economics
سال: 2023
ISSN: ['1499-691X']
DOI: https://doi.org/10.33423/jabe.v25i3.6289