Performance of Technical Trading Rules in the US and Swedish Stock Markets

Abstract

In this thesis I am testing the performance of two of the most popular market-timing strategies, the simple-moving average and time-series momentum, compared to the performance of the passive buy-and-hold strategy using in-sample testing. The strategies are implemented on two sets of data, one being the S&P500 for the period 1926 to 2013, and the second the Swedish stock market for the period 1919 to 2006. I replicate the results of previous studies on the S&P500, and also contribute to the ongoing research by extending the testing of the performance of the market-timing strategies to the Swedish stock market. The results of the in-sample test show that the market-timing strategies have better performance than the passive buy-and-hold strategy. However there are too many uncertain factors to conclude that the market-timing strategies are superior to the passive buy-and-hold strategy without conducting further extensive research.