Abstract
M. Comm.
This research considers if it is possible for an individual investor investing on the JSE to
achieve returns greater than that of the market, represented by the Satrix 40 as a market
proxy, by implementing an active investment strategy based on moving average technical
trading rules. The moving average technical trading rules which were applied in the research
were based on a previous study presented by Brock et al. (1992), but were applied in a South
African context.
Of the twenty-six different trading rules tested as part of the study, eight were found to
achieve greater overall returns than the Satrix 40 over the sample period. The results of the
study therefore suggest that it is possible for an investor to better the market returns,
represented by the Satrix 40 as a market proxy, using certain moving average technical
trading rules.