Portfolio Size and Profitability of Moving Average Timing Strategy – A cross country comparison

Muhammad Arif*, Nuttawat Visaltanachoti, Mudassar Hasan, Muhammad Abubakr Naeem

*Corresponding author for this work

Research output: Contribution to conferencePaperpeer-review

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Using popular technical trading rules of moving averages, this study documents the profitability of technical analysis for equal-weighted random portfolios from the Australian (ASX) and New Zealand (NZX) Stock Markets. The findings confirm prior evidence on the profitability of technical analysis for portfolio trading in relatively illiquid financial markets that are part of small open economies. This study contributes to the technical analysis literature regarding the number of stocks in a portfolio (hereafter “portfolio size”) that a trader must hold to outperform a passive benchmark strategy. The findings suggest that an investor can consistently outperform a buy and hold strategy return by applying the MA timing strategy to a portfolio containing 80 or more random stocks.
Original languageEnglish
Publication statusPublished - 14 Feb 2019
Externally publishedYes
Event23rd Annual New Zealand Finance Colloquium - Lincoln University, Lincoln, New Zealand
Duration: 13 Feb 201915 Feb 2019
Conference number: 23


Conference23rd Annual New Zealand Finance Colloquium
Country/TerritoryNew Zealand
Internet address

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