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The sensitivity of moving average trading rules performance with respect to methodological assumptions

机译：移动平均交易规则表现的敏感性关于方法论假设

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The question whether the tools and methods characterizing technical analysis can lead to superior performances when it comes to forecast the future evolution of speculative prices (mainly stock prices) represents a matter of permanent debate in the specialized literature. Various surveys show long term equilibrium between the number of empirical studies that confirm these superior capacities and those failing to do so. In the same time, it is suggested that a possible explanation for these heterogeneity resides in the various methodological approaches when testing technical analysis rules. It seems that the subjective choices of the parameters can bias substantially any empirical results through the negative effects of data mining. The paper's objective is to test the sensitivity of the returns generated through the use of the dual moving average crossover rule with respect to the dimension of the investment decision space and the moment in which the investors do the actual trading suggested by the rule. Based on a price of 2,942 observations characterizing the Bucharest Stock Exchange, we ran simulations for 5,670 different trading rules and we found that particular approaches of the trading rule consistently leads to different results, approaches which are more or less prone to boost the rule's profitability. For example, using a two element space of investment decision will always outperform a three element one mainly because of the heavy trading commission fees generated by more frequently changing the investment exposures. We also considered the impact of the trading commissions when evaluating the total returns and that of the net interest that can be earned through borrowing and lending at a differentiated cash rate (namely R0B0R-3M and R0BID-3M).
机译：问题是特征技术分析的工具和方法是否可以在预测投机价格的未来演变（主要是股票价格）代表专业文献中的永久辩论问题时，这是卓越的表现。各种调查显示在确认这些优异的能力和未能这样做的实证研究的数量之间显示长期均衡。同时，建议在测试技术分析规则时，对这些异质性的可能解释在于各种方法方法。似乎参数的主观选择可以通过数据挖掘的负面影响基本上偏离任何经验结果。本文的目的是测试通过使用双人移动平均交叉规则在投资决策空间的维度和投资者通过规则建议的实际交易的时刻使用双移动平均交叉规则所产生的回报的敏感性。根据2,942个观察的价格，表征布加勒斯特证券交易所，我们为5,670种不同的交易规则进行了模拟，我们发现交易规则的特定方法一直导致不同的结果，越来越容易发生规则的盈利能力。例如，使用投资决定的两个元素空间将始终优于三个元素，主要是因为更频繁地改变投资曝光的重量交易委员会费用。我们还考虑了在评估通过借用和贷款以差异化的现金率（即R0B0R-3M和R0BID-3M）获得的净利息的总回报和净利息而产生的影响。

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