Trend-anticipating versus trend-following Cover Image
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Trend-anticipating versus trend-following
Trend-anticipating versus trend-following

Author(s): Adrian Zoicaş-Ienciu, Fanuta Pop
Subject(s): Business Economy / Management, Management and complex organizations, Socio-Economic Research
Published by: Alma Mater & Universitatea »Babes Bolyai« Cluj - Facultatea de St. Economice si Gestiunea Afacerilor
Keywords: technical analysis; trading timing; moving averages;

Summary/Abstract: This paper evaluates the impact of trading timing on trend-following performance for equity market indices across: (1) an ideal framework where investors successfully anticipate one-day-ahead signals and (2) a realistic framework with delayed transaction prices and cautious investors. We show that trend-following profits reduce significantly under the realistic trading timing. This bias is persistent, holds when controlling for trading costs, interests, and risk, being more pronounced for the emerging markets. Indirectly, the finding suggests that trend-anticipating tends to outperform trend-following as a trading strategy.

  • Issue Year: X/2017
  • Issue No: 2
  • Page Range: 211-220
  • Page Count: 10
  • Language: English