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Abstract(s)
This paper studies and compares the performance of different Moving Average Rules applied to a basket of
selected stocks between 1998 and 2012. It is shown that the selection of stocks through the analyst
consensus recommendations with periodical rebalancing is profitable and performs better than the buy-andhold
benchmark. Furthermore, the application of Moving Average Rules displays potential to improve the
risk adjusted performance of the basket of selected stocks, with a Sharpe ratio of 0.77. It is also shown that
the Moving Average Rules outperform the benchmark in bearish periods, with poorer results being reached
during bullish periods. All the results are computed in a real-life setting accounting transaction costs inferred
from the market. Longer Moving Average Rules tend to outperform the shorter ones, and display less
sensibility to transaction costs.