The profitability of the simple moving averages and trading range breakout in the Asian stock markets

This paper examines the profitability of the applications of variable and fixed moving averages as well as trading range breakout (TRB) on nine popular daily Asian market indices from 1st January 1988 to 31st December 2003. The test results provided strong support for variable moving averages (VMAs), in particular, and fixed moving averages (FMAs) in the China, Thailand, Taiwan, Malaysian, Singaporean, Hong Kong, Korean, and Indonesian stock markets. The length of 20 days and 60 days appeared to be the most profitable for variable and fixed moving averages, respectively. The technical attractiveness of trading rules offers many profit opportunities for market participants.