A Comparative Study Of Intraday Trading Systems Developed Based On Moving Average: Simple, Exponential And Hull
Moving averages are amongst the most widely used technical tools by participants in the financial markets. Moving averages smooth the time series to form a trend following indicator. The strength of a moving average is its ability to filter out price noise reducing what can be extremely volatile price series into more discernible trends, thereby allowing researchers to ascertain the strength and direction of the trend. In this paper, three intra-day trading systems are designed using three different moving averages, namely simple moving average, exponential moving average and smoothed moving average. The systems are tested using the one minute data of CSI 300 Index Future of China. Some special constraints of this emerging markets are considered to fully adjust to this specified markets. The performance of the systems are compared with each other to find out the optimal moving average indicator.
Index Termsó Moving average, simple moving average, exponential moving average, smoothed moving average, intra-day trading, CSI 300