Features of the indicator "moving average" to improve the efficiency of investment
In recent years domestic institutional investors have shown growing interest in the science of technical analysis of the financial assets. Qualified application of the methods of technical analysis significantly simplifies the process of making decisions under conditions of formation and management of investment portfolio. One of the most popular tools of technical analysis is the so called "moving averages".
The aim of the article is the research by methods of technical analysis into the application of the "moving average" indicator on the world's stock markets in modern conditions with the aim of improving efficiency of investment in the shares of international corporations.
The main types of moving averages are considered, the main principle of their calculation and the principle of the use in the systems of investment. We studied the peculiarities of investment by the system with two (R. Donchian) and three (R. Allen) moving averages. The advantage of investing by the system of R. Allen was proven, based on the application of three (4–, 9– and 18–period) moving averages, over the system of R. Donchian, and its highest efficiency.
The system of investing of R. Allen can be recommended for practical implementation by investment managers in the management of investment portfolio.
Further studies of this problem are advisable to carry out in the direction of the study of the use of different periods in calculating moving averages, first, depending on the used tactics of investment and, second, for different groups of shares.
Акелис, С. Технический анализ от А до Я. Полный набор инструментов торговли [Текст] / С. Акелис; пер. с англ. М. Волкова, А. Лебедев. – М. : Диаграмма, 2000. – 376 с.
ЛеБо, Ч. Компьютерный анализ фьючерсных рынков [Текст] / Ч. ЛеБо, Д. Лукас ; пер. с англ. В. Д. Гибенко. – М. : Изд. дом «Альпина», 2000. – 304 с.
Колби, Р. В. Энциклопедия Технических индикаторов рынка [Текст] / Р. В. Колби, Т. А. Мейерс ; пер. с англ. А. М. Дзюра. – М.: Изд. дом «Альпина», 2000. – 581 с.
Найман, Э. Л. Малая энциклопедия трейдера [Текст] / Э. Л. Найман. – К. : Альфа Капитал : Логос, 1997. – 236 с.
Penn, D. Charting the Market. Moving Averages [Text] / Penn David // Technical Analysis of Stocks & Commodities. – 2003. – Vol. 21. – Dec. – P. 63 – 64.
Швагер, Дж. Технический анализ. Полный курс [Текст] / Джек Д. Швагер; пер. с англ. А. Куницын, Б. Зуев. – М. : Альпина Паблишер, 2001. – 768 с.
Кац, Д. О. Энциклопедия торговых стратегий [Текст] / Д. О. Кац, Д. Л. МакКормик; пер. с англ. П. Глоба. – М.: Альпина Паблишер, 2002. – 400 с.
The authors agree with the following conditions:
1. Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
2. Authors have the right to complete individual additional agreements for the non-exclusive spreading of the journal’s published version of the work (for example, to post work in the electronic repository of the institution or to publish it as part of a monograph), with the reference to the first publication of the work in this journal.
3. Journal’s politics allows and encourages the placement on the Internet (for example, in the repositories of institutions, personal websites, SSRN, ResearchGate, MPRA, SSOAR etc.) manuscript of the work by the authors, before and during the process pf viewing it by this journal, because it can lead to a productive research discussion and positively affect the efficiency and dynamics of citing the published work (see The Effect of Open Access).