Optimizing Moving-Average Trading Strategy: Evidence in Malaysia Equity Market
Table 2:
| Strategy Type |
B&H |
|
MA |
MA |
MA |
MA |
MA |
|
|
(1,10) |
(1,20) |
(1,50) |
(1,100) |
(1,200) |
| Total No. of Trades |
180 |
Original |
224 |
144 |
79 |
44 |
39 |
|
Modified |
169 |
114 |
63 |
44 |
28 |
| Reward-to Risk Ratio |
0.95 |
Original |
3.99 |
3.84 |
7.90 |
5.78 |
12.74 |
|
Modified |
2.85 |
2.53 |
5.41 |
5.78 |
9.11 |
| Total Strategy Return |
111.21% |
Original |
726.47% |
381.79% |
312.85% |
247.02% |
220.19% |
|
Modified |
791.28% |
325.48% |
336.36% |
247.02% |
241.14% |
| Geometric Mean Return |
4.16% |
Original |
0.95% |
1.10% |
1.81% |
2.87% |
3.03% |
|
Modified |
1.30% |
1.28% |
2.37% |
2.87% |
4.48% |
| S. Deviation of Return |
4.41% |
Original |
3.05% |
3.75% |
7.14% |
9.94% |
8.14% |
|
Modified |
3.55% |
4.27% |
7.97% |
9.94% |
9.35% |
| Sharpe Ratio |
0.09 |
Original |
0.31 |
0.29 |
0.25 |
0.29 |
0.37 |
|
Modified |
0.37 |
0.30 |
0.30 |
0.29 |
0.48 |
| Skewness |
-0.28 |
Original |
2.24 |
2.48 |
3.44 |
2.85 |
2.40 |
|
Modified |
1.73 |
1.95 |
2.91 |
2.85 |
1.81 |
| Kurtosis |
1.17 |
Original |
6.00 |
8.11 |
14.04 |
7.87 |
5.12 |
|
Modified |
3.57 |
5.10 |
10.08 |
7.84 |
2.35 |
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