Testing and Analyzing the 10-Day Moving Average Rule as a System for Commodity Trading
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Fuss, James F.
I have been interested in trading commodities for the last five or six years. I opened my first account with a brokerage firm in 1967, and in the next two or three months my account balance went from $600 to over $2,400, a profit of over $1,800, simply by following the suggestions of my broker. | It was at that point that ray losses began, and with my broker again leading the way I lost all of the money in the account and had to pay the brokerage firm an additional $18 to clear my account. I lost the entire amount in one month after having traded in five different commodities and forty to fifty contracts. Since that time I have traded in only a few contracts a year, but have continued to follow commodity prices. | There are many tools designed to help the commodity trader gain profits, but the one that is the most interesting to me is a trend following technique called the 10-Day Moving Average Rule. | The objective of this paper is to test and analyze this rule over a period of time.
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