An investigation of model selection criteria for technical analysis of moving average

Journal of Industrial Engineering International

دوره 8، شماره 1، فروردین 2012   

نویسندگان

Milad Jasemi^{* 1}؛ Ali M Kimiagari²

¹Department of Industrial Engineering, Islamic Azad University, Masjed Soleyman Branch, Masjed Soleyman, 61649, Iran

²Department of Industrial Engineering, Amirkabir University of Technology, Tehran, 15914, Iran

چکیده

Moving averages are one of the most popular and easy-to-use tools available to a technical analyst, and they also
form the building blocks for many other technical indicators and overlays. Building a moving average (MA) model
needs determining four factors of (1) approach of issuing signals, (2) technique of calculating MA, (3) length of MA,
and (4) band. After a literature review of technical analysis (TA) from the perspective of MA and some discussions
about MA as a TA, this paper is structured to highlight the effects that each of the first three factors has on
performance of MA as a TA. The results that based on some experiments with real data support the fact that
deciding about the first and second factors is not much critical, and more attention should be paid to other factors.

کلیدواژه‌ها

Moving average؛ Technical analysis؛ Trend forecasting؛ Investment decision؛ Portfolio selection