Above average? – A study of moving average technical trading rules

Abstract: The thesis investigates whether moving average technical trading rules can be applied profitably to ETFs of a wide range of commodities and indices, as well as directly to these underlying assets. It concludes that moving average strategies are not profitable in general, yet there are a few which can achieve excess profits for certain assets. The results were statistically tested using the bootstrap method, which showed that most trading results were statistically significant. It is observed that a moving average strategy can no longer be applied profitably to emerging markets, which in previous research have been shown to be very receptive to technical trading.