This paper proposes a modified version of the widely used price and moving average cross-
over trading strategies. The suggested approach (presented in its 'long only'version) is a
combination of cross-over 'buy'signals and a dynamic threshold value which acts as a
dynamic trailing stop. The trading behaviour and performance from this modified strategy are
different from the standard approach with results showing that, on average, the proposed
modification increases the cumulative return and the Sharpe ratio of the investor while …

In this paper we extend the methodology of our earlier work (Papailias and Thomakos,
2011) on a modified moving average technical trading rule by allowing short sales. We show
how short sales change the trading rule which now acts as a dynamic trailing" stop-and-
reverse", instead of a dynamic trailing stop as in the context of" long-only" trades. Then we
empirically examine the performance of our modification in the context of a" long/short"
trading approach and discuss the differentiation and implications in strategy performance …