Improved Moving Average using intra-day EUR/USD FOREX

December 9, 2011
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(This article was first published on Quantitative Finance & Technical Trading » r-bloggers, and kindly contributed to R-bloggers)

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Quantitative Finance & Technical Trading
Improved Moving Average using intra-day EUR/USD FOREX

(Fotis, Reason for Edit: Sample Dates Added)

Hi everyone,

Here we present the graphical illustrations from two cases that our improved moving average method provides better results compared to the rest.

You can find the R-code here (is the same version).

In both cases we are using the Exponential Moving Average.  The figure on the left illustrates EMA(20,60) as fast and slow weights, whereas the figure on the right is using the ouput of an EMA(45,120).

Green line is the cumulative return using the method we suggest in the papers, red line is the method we suggest in the papers when once exit one can re-enter (as long as the current price is greater compared to the last entry price) , the black line is the cumulative return using the standard EMA and the blue line is the cumulative return of the Buy & Hold strategy. (for more information on how to read the graphs click here)

Here you can download the full set of experiment where we use a 0% exit threshold (as above), a 3% threshold and a 5% threshold.

If you want to see applications in more currencies or if you have in mind another couple of MA weights you ‘d like to see in action, reply to this post with your suggestions.

The exact number of trades for each method follows.

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Download here the .pdfs with all figures.

EMA(20, 60) (9.6 MB)

EMA(45, 120) (9.4 MB)

 

The data is minute-by-minute, start on Oct. 20, 2012 at 09:00 and ends on Dec. 7, 2012 at 12:07. Sample size is 50482 observations. It was collected using Bloomberg Services.

I am thankful to the School of Economics and Finance, Queen Mary University of London, for providing me all the necessary tools needed for my research.

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Quantitative Finance & Technical Trading
Improved Moving Average using intra-day EUR/USD FOREX

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