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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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