A New moving average approach to predict the direction of stock movements in algorithmic trading

Abstract

Moving averages and indicators derived from these averages are used to predict the future direction the stocks will move. In manual and algorithmic trading, moving averages play a decisive role in decision making. In this study, a new hybrid approach has been developed that can be used as an alternative to moving averages such as SMA, WMA and EMA used in the literature. In BIST30 stocks in Turkey, the proposed method performs better than widely used indicators such as MACD, Stochastic and RSI, commonly used in the literature.