  In this paper, we investigate 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. For the
case of an Ornstein-Uhlenbeck drift, we carry out several Monte Carlo
experiments in order to investigate how the performance of optimal ExpMA
strategies is affected by variations in model parameters and by transaction
costs.
