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Analysis of quantitative investment strategies: trend following – a multiple moving average approach
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This thesis evaluates a Trend Following strategy based on Multiple Moving Averages. Two novel metrics are introduced to capture trend strength based on the relative ordering of the averages and aim to adjust position sizing beyond the directional signal from a moving average crossover. Applied to a broad set of macro futures indices, the strategy is profitable. However, most returns originate from the moving-average crossover, while the additional metrics provide limited contribution. Compared with a breakout-based Trend Following
strategy, the approach underperforms.
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Trend following Moving averages Time series momentum Trading Quantitative investment strategies Hedge funds