This paper tested two of the simplest and most popular trading rules – Auto- Regressive Models and Moving Averages – by utilising the Australian Dollar relative to US Dollar from 1 Jan 1986 to 9 June 1999. This data set was used by Tan [1995, 1997] in his study in comparing the profitability of systems based on Artificial Neural Networks and ARIMA models.

Dr. Clarence N W Tan and Herlina Dihardjo

School of Information Technology, Bond University, QLD 4229

Acknowledgement: We acknowledge some assistance from Kumar & Tan small Australian Research Council (ARC) Grant (1999 for research work done in this paper.

Summary:

• Abstract - Introduction

• Research Methodology and Results

• Single and Two Moving Averages - In and out-of-sample data

• Single and Two Moving Averages - Full Series

• Conclusion

• References

• Books Related