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Combining DVaR and Moving Average Strategies for Market Timing
By Student  •  February 12, 2011
Combining the trading strategies of DVaR and Moving Average produces this result on the STI from 1975 to present: The relevant parameters are 5 and 25 for the short and long MA signals, and 1.5% for DVaR. Summary statistics are presented here: Clearly we already knew that Moving Avg and DVaR strategies were going to improve both [...]...
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