Features of the indicator "moving average" to improve the efficiency of investment
Abstract
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.
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