Revisiting the Protability of Market Timing with
This revision: March 7, 2016
In a recent empirical study by Glabadanidis (“Market Timing With Moving Averages”
(2015), International Review of Finance, Volume 15, Number 13, Pages 387-425; the paper
is also available on the SSRN and has been downloaded more than 7,500 times) the author
reports striking evidence of extraordinary good performance of the moving average trading
strategy. In this paper we demonstrate that “too good to be true” reported performance
of the moving average strategy is due to simulating the trading with look-ahead bias. We
perform the simulations without look-ahead bias and report the true performance of the
moving average strategy. We find that at best the performance of the moving average
strategy is only marginally better than that of the corresponding buy-and-hold strategy.
In statistical terms, the performance of the moving average strategy is indistinguishable
from the performance of the buy-and-hold strategy. This paper is supplied with R code
that allows every interested reader to reproduce the reported results.
Key words: technical analysis, market timing, moving averages, performance evaluation
JEL classication: G11, G17.
이동평균 전략은 매수 후 보유 전략과 차별되지 않는다는 내용