812  23

 ,          (variable-
length moving average strategy).        
 ,        
   .         
      ,     
     (fixed-length moving average strategy).  
         ,   -
   ,  I,  ,  +1;   
, ,      ,   -
   ,  1,  ,  +1. ,  -
   ,           -
 10 .  ,     ,   -
       10 .      10 
        .    -
         ,   -
,          ,  
     ,    .

 23.2

         

   ( %)

		 	    
.   :         .      	10,7 13,811,8	-6,1 -4,8-5,8	16,8 18,617,6

:   : William Brock, Josef Lakonishok, and Blake LeBaron Simple
Technical Trading Rules and the Stochastic Properties of Stock Return, Journal of Finance, 47, no. 5
(December 1992), pp. 1739.     200-   1987  1986 .
;        260      26 -
   .

  . 23.2 ,       -
      .    -
        13,8%,      4,8%,  
   18,6%.    
 :          -
         1,3   1,7  -
.

          -
 .           
 200  .        
,      ,       ,
 ,           