“Professor Zakamulin’s new book, Market Timing with Moving Averages, on the calculation and use of moving averages in the timing of investment transactions is unquestionably the most valuable description and summary available today of a method frequently used but poorly understood. Because moving averages are such an important component of so many technical indicators, trading and investment students, irrespective of their expertise, should read and own this book.”
--Charles D. Kirkpatrick II, CMT, president of Kirkpatrick & Company, Inc., and author of numerous books on technical analysis of financial markets “Looking for deep knowledge into trend-following? Look no further. Market Timing with Moving Averages is the definitive source. Check it out!” --Wesley R. Gray, Ph.D., CEO of Alpha Architect and co-author of Quantitative Momentum “Professor Zakamulin has written a much-needed comprehensive guide to market timing rules using eight types of moving averages, as well as related methods like MACD and the momentum rule. His thorough analysis applied to stock indices, bonds, currencies, and commodities clearly shows that trend following offers advantages after trading costs. It can protect one from loses when needed most and is a prudent investment strategy for medium and long-term investors. This is a landmark book that should help improve both academic and practitioner perception regarding the efficacy of trend following methods.” --Gary Antonacci, author of Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk “The new book by Prof. Zakamulin is a must read for all traders and professionals in finance. I had the privilege of being asked to comment on the material and I am sure this will become the moving average reference standard. Especially, the information on statistical hypothesis tests is important and substantial.” --Michael Harris, developer of “Deep Learning Price Action Lab Software” and author of several books on technical trading |
Trend-Following with Valeriy Zakamulin: Introductory Online Course
Part 1: Moving Averages Basics
Part 2: Types of Moving Averages
Part 3: Trend-Following Trading Rules
Part 4: Anatomy of Trading Rules
Part 5: Performance Measurement and Outperformance Tests
Part 6: Testing Profitability of Trading Rules
Part 7: Trading the S&P 500 Index
Part 8: Trading in Various Financial Markets
Part 2: Types of Moving Averages
Part 3: Trend-Following Trading Rules
Part 4: Anatomy of Trading Rules
Part 5: Performance Measurement and Outperformance Tests
Part 6: Testing Profitability of Trading Rules
Part 7: Trading the S&P 500 Index
Part 8: Trading in Various Financial Markets
R Package "bbdetection"
The "bbdetection" package aims to implement two algorithms of detecting Bull and Bear states in a financial market. The package also contains functions for printing out the dating of the Bull and Bear states of the market, the descriptive statistics of the states, and functions for plotting the results. The package can be installed from CRAN Repository. This package is supplemented with a package manual and documentation.
R Package "matiming"
The "matiming" package contains functions to compute moving averages, simulate moving average trading strategies, and to perform back-tests and forward tests of these strategies. The current package is build under R version 4.2.0. The package *source* for all PC can be downloaded here. The binary package for Windows PC can be downloaded here. To use the package, download and install it. The package is supplemented with a package manual and documentation.
Interactive Web-Illustrations and Real-Time Trading Signals
At the moment, the interactive web-illustrations can also be accessed via the introductory online course "Trend-Following with Valeriy Zakamulin" (see above).
Chapter 1: Why Moving Averages?
Click here to see the difference between a centered moving average and a right-aligned moving average
Chapter 3: Types of Moving Averages
Click here to study different types of moving averages
Chapter 4: Technical Trading Rules
Click here to study the Momentum rule
Click here to study the Moving Average Change of Direction rule
Click here to study the Price Minus Moving Average rule
Click here to study the Moving Average Crossover rule
Click here to study the Moving Average Envelope rule
Click here to study the Moving Average Convergence/Divergence rule
Chapter 5: Anatomy of Trading Rules
Click here to study the anatomy of the Momentum rule
Click here to study the anatomy of the Moving Average Change of Direction rule
Click here to study the anatomy of the Price Minus Moving Average rule
Click here to study the anatomy of the Moving Average Crossover rule
Click here to study the anatomy of the Moving Average Convergence/Divergence rule
Chapter 9: Trading the Standard and Poor's Composite Index
Click here to study the bull-bear markets in the S&P 500 index
Click here to see the results of in-sample tests
Click here to see the results of the out-of-sample tests
Chapter 10: Trading in Other Financial Markets
Interactive web-illustrations are supplied to study the bull-bear markets, the results of the in-sample and out-of-sample tests in other stock markets.
Click here to study the bull-bear markets in different stock markets
Click here to see the results of in-sample tests in different stock markets
Click here to see the results of the out-of-sample tests in different stock markets
Real-Time Trading Signals
These web illustrations download data from Yahoo Finance on a set of major world stock market indices and generate real-time trading signals.
Click here for real-time trading with the Moving Average Crossover rule
Click here for real-time trading with the Moving Average Envelope rule
Chapter 1: Why Moving Averages?
Click here to see the difference between a centered moving average and a right-aligned moving average
Chapter 3: Types of Moving Averages
Click here to study different types of moving averages
Chapter 4: Technical Trading Rules
Click here to study the Momentum rule
Click here to study the Moving Average Change of Direction rule
Click here to study the Price Minus Moving Average rule
Click here to study the Moving Average Crossover rule
Click here to study the Moving Average Envelope rule
Click here to study the Moving Average Convergence/Divergence rule
Chapter 5: Anatomy of Trading Rules
Click here to study the anatomy of the Momentum rule
Click here to study the anatomy of the Moving Average Change of Direction rule
Click here to study the anatomy of the Price Minus Moving Average rule
Click here to study the anatomy of the Moving Average Crossover rule
Click here to study the anatomy of the Moving Average Convergence/Divergence rule
Chapter 9: Trading the Standard and Poor's Composite Index
Click here to study the bull-bear markets in the S&P 500 index
Click here to see the results of in-sample tests
Click here to see the results of the out-of-sample tests
Chapter 10: Trading in Other Financial Markets
Interactive web-illustrations are supplied to study the bull-bear markets, the results of the in-sample and out-of-sample tests in other stock markets.
Click here to study the bull-bear markets in different stock markets
Click here to see the results of in-sample tests in different stock markets
Click here to see the results of the out-of-sample tests in different stock markets
Real-Time Trading Signals
These web illustrations download data from Yahoo Finance on a set of major world stock market indices and generate real-time trading signals.
Click here for real-time trading with the Moving Average Crossover rule
Click here for real-time trading with the Moving Average Envelope rule