Research Article AVERAGE TRUE RANGE: HIGH VOLATILITY AS A
Available Online at http://www.recentscientific.com International Journal of CODEN: IJRSFP (USA) Recent Scientific International Journal of Recent Scientific Research Research Vol. 11, Issue, 01(B), pp. 36805-36812, January, 2020 ISSN: 0976-3031 DOI: 10.24327/IJRSR Research Article AVERAGE TRUE RANGE: HIGH VOLATILITY AS A SUCCESS FACTOR FOR TRADING Dr.Ulrich R. Deinwallner PhD Management and Finance, Walden University, USA DOI: http://dx.doi.org/10.24327/ijrsr.2020.1101.4999 ARTICLE INFO ABSTRACT Article History: High volatility can be an indication to achieve excess returns with an investment strategy, according to the Efficient Market Hypothesis (EMH), since the underlying markets might exhibit less Received 6th October, 2019 th efficiency. In connection to this it was relevant to understand, if trading with low or high Average Received in revised form 15 True Range (ATR) values can improve the return results of a Moving Average (MA) trading November, 2019 strategy. The purpose of this quantitative research was to compare different MA strategies in Accepted 12th December, 2019 th different U.S. stock markets and to find an optimal ATR setting, to determine if excess returns can Published online 28 January, 2020 be achieved. The research question (RQ) was: what ATR setting can improve the return results of a MA trading strategy for U.S stock market indices? The following computations occurred: (a) simple Key Words: moving average; (b) ATR; and (c) t-Tests. I find in this study that a ATR(5) with high values Average True Range, Volatility Trading, (threshold = 25.92) is the most profitable setting to improve a Simple MA (SMA) trading strategy Moving Average, Efficient Market for the S&P500 index with (i.e., rSMA (20)_High_ATR (5)_S&P500 = 21.84 % per month), hypothesis, Portfolio Management.
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