Before revision: In this paper, we study trading strategies based on exponential moving averages ( ExpMA) , an important indicator in technical analysis. We seek optimal ExpMA strategies when the drift of the underlying is modeled by either an Ornstein-Uhlenbeck process or a two-state continuous-time Markov chain.
After revision: In this paper, we study trading strategies based on exponential moving averages ( ExpMAs) of an underlying risky asset. We study both logarithmic utility maximization and long-term growth rate maximization problems and find closed-form solutions when the drift of the underlying is modeled by either an Ornstein-Uhlenbeck process or a two-state continuous-time Markov chain.