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Trading System for Australian Dollar using multiple moving averages and autoregressive models

Abstract - Introduction

Research Methodology and Results

Single and Two Moving Averages - In and out-of-sample data

Single and Two Moving Averages - Full Series

Conclusion

References

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Clarence N W Tan and Herlina Dihardjo:

Trading System for Australian Dollar using multiple moving averages and autoregressive models

Keywords : Trading Systems , Currency Market

This paper tested two of the simplest and most popular trading rules – Auto- Regressive Models and Moving Averages – by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. This data set was used by Tan [1995, 1997] in his study in comparing the profitability of systems based on Artificial Neural Networks and ARIMA models.

Dr. Clarence N W Tan and Herlina Dihardjo

School of Information Technology, Bond University, QLD 4229

Acknowledgement: We acknowledge some assistance from Kumar & Tan small Australian Research Council (ARC) Grant (1999 for research work done in this paper.

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