Derives SR of moving-average rule from return PDF, showing short look-backs exploit autocorrelation while longer ones rely on drift, plus a new oscillation effect modeled by non-stationary process.
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Detailed study of a moving average trading rule
Derives SR of moving-average rule from return PDF, showing short look-backs exploit autocorrelation while longer ones rely on drift, plus a new oscillation effect modeled by non-stationary process.