Market Timing with Moving Averages

---

Documentation for package ‘matiming’ version 1.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

back.test	Finds the optimal trading strategies in a back-test (in-sample test)
best.is.strategies	Reports the best trading strategies in a back-test (in-sample test)
descriptive.statistics	Computes the summary statistics of the moving average trading strategy and the corresponding buy-and-hold strategy
djia.daily	Daily returns of the Dow Jones Industrial Average index
djia.monthly	Monthly returns of the Dow Jones Industrial Average index
DMA	Computes the Double Exponential Moving Average (DMA)
EMA	Computes the Exponential Moving Average (EMA)
Excret	Computes the mean excess return
forward.test	Simulates the returns to the out-of-sample trading strategy
HMA	Computes the Hull Moving Average (HMA)
is.outperformance.plot	Plots the trading strategies rolling outperformance
LMA	Computes the Linear Moving Average (LMA)
oos.outperformance.plot	Plots the rolling outperformance of the OOS strategy
outperformance.test	Tests whether the moving average strategy outperforms its passive counterpart
Sharpe	Computes the Sharpe ratio
sim.cdir.strategy	Simulates the returns to the Moving Average Change of Direction (CDIR) strategy
sim.mac.strategy	Simulates the returns to the Moving Average Crossover (MAC) strategy
sim.macd.strategy	Simulates the returns to the Moving Average Convergence Divergence (MACD) strategy
sim.mae.strategy	Simulates the returns to the Moving Average Envelope (MAE) strategy
sim.mom.strategy	Simulates the returns to the Momentum (MOM) strategy
sim.results.merge	Merges the results of simulating the returns to different trading strategies
SMA	Computes the Simple Moving Average (SMA)
Sortino	Computes the Sortino ratio
sp500.daily	Daily returns of the Standard and Poor's Composite index
sp500.monthly	Monthly returns of the Standard and Poor's Composite index
ZMA	Computes the Zero Lag Exponential Moving Average (ZMA)