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ABSTRACT. In this paper, we propose and recommend a new combined moving average trading rule based on max-min strategy. It outperforms the traditional simple moving average trading rules for Buy and Sell-day returns by a factor of 10 to 20 in the DJIA, the NASDAQ, and the S&P. It also outperforms the old traditional combined moving average trading rule based on max-max strategy proposed by Arnold and Rahfeldt in 2008 for Sell-day returns by a factor of 10 to 20 in the DJIA, the NASDAQ, and the S&P.
JEL codes: G10; G14

Keywords: combined moving average trading rule; efficient market hypothesis; max-max strategy; max-min strategy; rate of return; simple moving average trading rules

How to cite: Ren, Louie, and Peter Ren (2018). “Applying a Combined Max-Min Simple Moving Average Trading Strategy to Market Indexes” Economics, Management, and Financial Markets 13(2): 11–23.

Received 24 April 2017 • Received in revised form 13 June 2017
Accepted 14 June 2017 • Available online 1 July 2017

doi:10.22381/EMFM13220181

LOUIE REN
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College of Business Administration,
University of Houston-Victoria, Texas
(corresponding author)
PETER REN
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School of Business,
University of Houston-Downtown, Texas

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