Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules
$23.52
Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules by Valeriy Zakamulin is a rigorous, research-driven exploration of one of the oldest and most widely used tools in technical analysis. Moving averages have long been considered indispensable for identifying trends, smoothing price data, and guiding buy-and-sell decisions. Yet, few resources examine their effectiveness with the level of academic depth and empirical testing found in this comprehensive volume.
Zakamulin, a financial researcher and quantitative analyst, begins by explaining the mathematical foundation of moving averages, including their calculation methods, lag properties, and smoothing characteristics . He explores a wide range of moving averages—from simple, exponential, and weighted to more complex variations like triangular, double, and zero-lag moving averages —demonstrating how each responds to different market conditions.
The book then shifts to the anatomy of moving average trading rules, such as crossover strategies, price-minus-moving-average rules, momentum rules, and moving average envelopes . Zakamulin analyzes how trading signals are generated, what they truly represent, and how they can be reinterpreted as weighted averages of price changes, offering fresh insights into their predictive power .
One of the book’s most valuable contributions is its scientific approach to testing trading rules. Zakamulin examines transaction costs, back-testing methods, forward-testing, and the dangers of data mining bias . By comparing performance across stocks, bonds, currencies, and commodities, he demonstrates when and where moving average systems historically outperform buy-and-hold strategies . The concluding chapters connect technical analysis with modern empirical finance, showing how moving averages can be understood within the framework of statistical forecasting models .
This is not a beginner’s primer. Zakamulin emphasizes that the book is best suited for serious, mathematically minded readers—traders, analysts, quants, and graduate students—who are ready to deepen their understanding of systematic trading . For professionals seeking a research-based foundation to evaluate moving average rules, this book delivers unmatched clarity and depth.
Contents:
- Why Moving Averages?
- Basics of Moving Averages
- Types of Moving Averages
- Technical Trading Rules
- Anatomy of Trading Rules
- Transaction Costs and Returns to a Trading Strategy
- Performance Measurement and Outperformance Tests
- Testing Profitability of Technical Trading Rules
- Trading the Standard and Poor’s Composite Index
- Trading in Other Financial Markets
Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules By Valeriy Zakamulin pdf
| Author(s) | |
|---|---|
| Format | |
| Pages | 300 |
| Publication Year | 2017 |
6 reviews for Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules
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Kamryn McIntosh (verified owner) –
This book is a must read for all traders and professionals in finance. I had the privilege of being asked to comment on the material and I am sure thiswill become the moving average reference standard. Especially, the informationon statistical hypothesis tests is important and substantial.
Isabelle Raymond (verified owner) –
ooking for deep knowledge into trend-following? Look no further. this book is the definitive source. Check it out
Scott Villanueva (verified owner) –
Zakamulin’s book, Market Timing with Moving Averages, on the calculation and use of moving averages in the timing of investment transactions is unquestionably the most valuable description and summary available today of a method frequently used but poorly understood. Because moving averages are such an important component of so many technical indicators, trading and investment students, irrespective of their expertise, should read and own this book.
Maurice Dyer (verified owner) –
If you are looking for a very detailed analysis of the application of moving averages as buy/sell indicators for broad equity market indices, bond markets and/or commodities then this book should be at the top of the list. The author provides a comprehensive analysis of all the considerations that one must make when designing backtests and forward tests. For me, this book will serve as a reference in the future. Many of the issues a trader has to consider when constructing an analysis of a technical trading rule including how to compare performances for different parameters are very well covered by Zakamulin.
Gwen McKenzie (verified owner) –
Among hundreds of books always repeating the same concepts, this book provides an extremely original and rigorous analysis of different types of moving averages and their applications to trading. Very recommended!
Titus Reynolds (verified owner) –
This is the most comprehensive book on moving averages that I have read. I found it insightful and it added to my knowledge of moving averages. It quantifies what anyone that’s already using moving averages likely already knows. If you know little about moving averages this may not be the book for you, but if you are knowledgeable about moving averages and want to learn more, this book is for you. Happy Trading!