Optimizing the Performance of the Fractal Adaptive Moving Average Strategy: The Case of EUR/USD

Gurrib, Ikhlaas; Elshareif, Elgilani Eltahir

doi:10.5539/ijef.v8n2p171

Cited by 10 publications

(5 citation statements)

References 20 publications

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“…SLB reported the smallest Sharpe value of 0.30, compared to PSX which shared the highest excess return per unit of total risk. In line with Gurrib and Elshareif (2016), who proposed to adjust the Sharpe ratio to the number of trades as a proxy to transaction costs, PSX reported the highest Sharpe per number of trade value of 0.0118, compared to XOM which had the lowest Sharpe value per number of trades, due to the relatively high number of trades. To assess the impact of only downside risk over the performance of each stock, the Sortino values were also calculated and reported.…”

Section: Performance Evaluationmentioning

confidence: 70%

Can the Leading Us Energy Stock Prices Be Predicted Using the Ichimoku Cloud?

Gurrib

Kamalov

Elshareif

2020

IJEEP

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The aim of this study is to investigate if Ichimoku Cloud can serve as a technical analysis indicator to improve stock price prediction for leading US energy companies. The methodology centers on the application of the Ichimoku Cloud as a trading system. The daily stock prices of the top ten constituents of the S&P Composite 1500 Energy Index -spanning the period from 12 th April, 2012 to 31 st July, 2019 -were sourced for experimentation. The performance of the Ichimoku Cloud is measured using both the Sharpe and Sortino ratios to adjust for total and downside risks. The analysis is split into pre and post oil crisis to account for the drop in energy stock prices during the July 2014 -December 2015. The model is also benchmarked against the naïve buy-and-hold strategy. The capacity of the Ichimoku indicator to provide signals during strengthening trends is analyzed. Despite the drop in energy stock prices, number of trades continued to increase along with profit opportunities. The PSX stock ranked first, with the highest Sharpe ratio, Sortino ratio, and Sharpe per number of trade. As expected, a number of buying signals occurred during strengthening bullish periods. Surprisingly, various sell signals also occurred during similar strengthening bullish trends. Most of the buy and sell signals under the Ichimoku indicator occurred outside of strengthening of bullish or bearish trends. The overall findings suggest that speculators can benefit from the use of the Ichimoku Cloud in analyzing energy stock price movements. In addition, it has the potential to reduce susceptibility to changes in energy prices. Last, the strength of the trend in place needs to be captured as it served as an additional layer of information which can improve the decision making process of the trader.

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Section: Performance Evaluationmentioning

confidence: 70%

Can the Leading Us Energy Stock Prices Be Predicted Using the Ichimoku Cloud?

Gurrib

Kamalov

Elshareif

2020

IJEEP

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“…Some authors in existing literature provide a good review of pioneer trend-following systems such as the Dow Theory, upon which today's Dow Jones Industrial Average is based [34,35]. More recent advancements in the field of average-based techniques include an adaptive moving average model for the Euro/US dollar currency pair and achieved higher annualized returns, lower annualized risk, but accompanied with higher number of trades, than the naïve buy-and-hold strategy [36]. An optimized moving average crossover strategy over the SPDR S&P 500 ETF suggested that the trend-following strategy outperform a buy-and-hold strategy [37].…”

Section: Technical Analysis Based Strategiesmentioning

confidence: 99%

Performance of Equity Investments in Sustainable Environmental Markets

et al. 2023

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Despite a significant increase in global clean energy investments, as part of the decarbonization process, it remains insufficient to meet the demand for energy services in a sustainable manner. This study investigates the performance of sustainable energy equity investments, with focus on environmental markets, using monthly equity index data from 31 August 2009 to 30 December 2022. The main contributions of our study are (i) assessment of the performance of trading strategies based on the trend, momentum, and volatility of Environmental Opportunities (EO) and Environmental Technologies (ET) equity indices; and (ii) comparison of the performance of sustainable equity index investments to fossil fuel-based and major global equity indices. Market performance evaluation based on technical analysis tools such as the Relative Strength Index (RSI), Moving Averages, and Average True Range (ATR) is captured through the Sharpe and the Sharpe per trade. The analysis is divided according to regional, sector, and global EO indices, fossil fuel-based indices, and the key global stock market indices. Our findings reveal that a momentum-based strategy performed best for the MSCI Global Alternative Energy index with the highest excess return per unit of risk, followed by the fossil fuel-based indices. A trend-based strategy worked best for the MSCI Global Alternative Energy and EO 100 indices. The use of volatility-based information yielded the highest Sharpe ratio for EO Europe, followed by the Oil and Gas Exploration and Production industry, and MSCI Global Alternative Energy. We further find that a trader relying on a system which simultaneously provides momentum, trend, or volatility information would yield positive returns only for the MSCI Global Alternative Energy, the S&P Oil and Exploration and Production industry, NYSE Arca Oil, and FTSE 100 indices. Overall, despite the superior performance of the MSCI Global Alternative Energy index when using momentum and trend strategies, most region and sector EOs performed poorly compared to fossil fuel-based indices. The results suggest that the existing crude oil prices continue to allow fossil fuel-based equity investments to outperform most environmentally sustainable equity investments. These findings support that sustainable investments, on average, have yet to demonstrate consistent superior performance over non-renewable energy investments which demonstrates the need for continued, rigorous, and accommodating regulatory policy actions from government bodies in order to reorient significant capital flows towards sustainable equity investments.

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“…Recent advancements in the field of average based techniques include Gurrib and Elshareif (2016) who tested an adaptive moving average model for the Euro/US dollar currency pair and achieved higher annualized returns, lower annualized risk, but accompanied with higher number of trades, than the naïve buyand-hold strategy. Gurrib (2016) applied an optimized moving average crossover strategy over the SPDR S and P500 ETF and found that the trend following strategy outperform a buy-and-hold strategy.…”

Section: Measuring Technical Analysis Performancementioning

confidence: 99%

Momentum in Low Carbon and Fossil Fuel Free Equity Investing

Gurrib

2023

IJEEP

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The Conference of the Parties to the United Nations Framework Convention on Climate Change (COP27) reiterated that climate change remains a critical issue for humanity. Especially, it stressed on the need to encourage a clean energy mix, including renewable and low-emission energies, as part of the continuing transition toward a cleaner and sustainable energy. Using daily indices data covering the period 1st January 2017 to 28th February 2023, this paper studies the performance of 2 family classes among sustainability indices, namely, low carbon and fossil fuel free indices. Specifically, this study sheds further light by assessing the performance of trading strategies which are based on the momentum of low carbon and fossil-fuel free based indices. The performance is based on a thorough analysis of the Relative Strength Index (RSI) and is captured through the Sharpe and Sharpe per trade measures. We decompose the analysis into pre and post COVID-19 to provide some insights how these sustainable energy investments were impacted by the coronavirus pandemic. Findings support an adjusted overbought/oversold RSI 75(25) model resulted in less false signals than the traditional 70 (30) model. Relative to the post COVID-19 period, all selected equity indices performed poorly in the pre- COVID-19 period, with negative returns, except for the MSCI World Low Carbon Leaders and the SPDR MSCI Emerging Markets Fossil Fuel Free equity indices. Comparatively, in the post COVID-19 period, all indices witnessed superior return performance, with also increased risk levels. SPDR MSCI Emerging Markets Fossil Fuel Free index ranked first, even after adjusting for number of trades. Investments post COVID-19 early impact period performed better than a naive buy-and-hold strategy for greener investments like low carbon and fossil fuel free equity indices.

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Optimizing the Performance of the Fractal Adaptive Moving Average Strategy: The Case of EUR/USD

Cited by 10 publications

References 20 publications

Can the Leading Us Energy Stock Prices Be Predicted Using the Ichimoku Cloud?

Can the Leading Us Energy Stock Prices Be Predicted Using the Ichimoku Cloud?

Performance of Equity Investments in Sustainable Environmental Markets

Momentum in Low Carbon and Fossil Fuel Free Equity Investing

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