Thursday, July 28, 2011

Change of deviation from moving average seems neutral to returns

Relation between daily deviation from moving average to moving average of deviation seems to have no effect on asset returns:

Fig. daily deviation from moving average / average daily deviation from moving average: deviation from EMA15, EMA5 of deviation, return over next 3 days (15-5-3), EURUSD

Fig. daily deviation from moving average / average daily deviation from moving average, EURUSD 45-25-10

Fig. daily deviation from moving average / average daily deviation from moving average, EURUSD 250-25-5
 

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