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Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence


  • Pasi Luukka
  • Eero Pätäri
  • Elena Fedorova
  • Tatiana Garanina


This article examines the profitability of dual moving average crossover (DMAC) trading strategies in the Russian stock market over the 2003–12 period. It contributes to the existing technical analysis (TA) literature by testing, for the first time, the applicability of ordered weighted moving averages (OWMA) as an alternative calculation basis for determining DMACs. In addition, this article provides the first comprehensive performance comparison of DMAC trading rules in the stock market that is known as one of the most volatile markets in the world. The results show that the best trading strategies of the in-sample period can also outperform their benchmark portfolio during the subsequent out-of-sample period. Moreover, the outperformance of the best DMAC strategies is mostly attributable to their superior performance during bearish periods and, particularly, during stock market crashes.

Suggested Citation

  • Pasi Luukka & Eero Pätäri & Elena Fedorova & Tatiana Garanina, 2016. "Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2434-2450, October.
  • Handle: RePEc:mes:emfitr:v:52:y:2016:i:10:p:2434-2450
    DOI: 10.1080/1540496X.2015.1087785

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    Cited by:

    1. Kutan, Ali M. & Shi, Yukun & Wei, Mingzhe & Zhao, Yang, 2018. "Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 183-197.
    2. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Tripathy, Trilochan, 2020. "Volatility persistence in the Russian stock market," Finance Research Letters, Elsevier, vol. 32(C).

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