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Is smarter better? A comparison of adaptive, and simple moving average trading strategies

  • Ellis, Craig A.
  • Parbery, Simon A.
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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4GG8W76-1/2/a5ee3754327df1c311aa37c2cc800469
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 19 (2005)
    Issue (Month): 3 (September)
    Pages: 399-411

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    Handle: RePEc:eee:riibaf:v:19:y:2005:i:3:p:399-411
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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    1. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
    2. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(03), pages 285-300, September.
    3. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
    4. Menkhoff, Lukas, 1997. "Examining the Use of Technical Currency Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 307-18, October.
    5. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-82, May.
    6. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    7. Louis P. Lukac & B. Wade Brorsen, 1989. "The usefulness of historical data in selecting parameters for technical trading systems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(1), pages 55-65, 02.
    8. Oberlechner, Thomas, 2001. "Importance of Technical and Fundamental Analysis in the European Foreign Exchange Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 81-93, January.
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