Download or read book The Predictive Ability and Profitability of Technical Trading Rules written by Hao Yu and published by . This book was released on 2010 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Tests of Technical Trading Rule Profitability in Australian Financial Markets written by Jung-Soo Park and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets. Size distortions due to data-snooping are avoided by using the Reality Check test of White (2000) and the Superior Predictive Ability test of Hansen (2005). We find no evidence that technical trading rules provide trading profits in excess of those available from a simple buy-and-hold strategy.

Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2010 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.

Download or read book The Profitability of Technical Trading Rules in US Futures Markets written by Cheol-Ho Park and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Profitability of Technical Trading Rules Based on Artificial Neural Networks written by Fernando Fernández-Rodríguez and published by . This book was released on 1999 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Profitability of Technical Trading Rules in United States Futures Markets written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Predictability Profitability and Applicability of Technical Trading Over Buy and hold Strategy of the Malaysian Equity and Commodity Markets written by Mohammad Hanis bin Osman and published by . This book was released on 2015 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the predictability, profitability and applicability of technical analysis in the Malaysian equities and commodity markets in relation to the naïve buy-and-hold strategy. In addition to the predictive ability and potential profit that may be generated by the technical analysis, the study also seeks to understand its usefulness when applying to different assets classes (inter and intra). The technical analysis incorporates the Variable Length Moving Averages, Fixed Length Moving Averages, Trading Range Breakouts and Bollinger Bands technical trading rules. The data of three Malaysian market indices - FTSE Bursa Malaysia Kuala Lumpur Composite Index, FTSE Bursa Malaysia Emas Shariah Index, Bursa Malaysia Crude Palm Oil Futures and two single stock counters - Maybank and Sime Darby - were examined. The predictive ability of the technical analysis is determined by testing the differences of market returns generated by the technical trading rules over the naïve buy-and-hold strategy. Accordingly, the breakeven cost of the technical trading rules is computed by apportioning the additional earnings generated by the rules over the total number of signals (buys and sells) created. The breakeven cost is then compared to the actual transaction cost. The technical trading is considered profitable if its returns exceed the actual transaction cost. Then, the relationship of the assets (inter and intra) against all of the technical trading rules tested are assessed via a rigorous tabulation analysis. The results record that the Variable Length Moving Averages and Fixed Length Moving Averages technical trading rules emerge to provide a significant degree of predictability as well as profitability over the data samples tested. However, the Trading Range Breakouts and Bollinger Bands technical trading rules are found not to be able to outperform the naïve buy-and-hold strategy in terms of both - the predictability and profitability in the similar markets. There is also no solid evidence found in terms of the advantage that could be derived in relation to the applicability of the technical trading rules over different assets classes (inter and intra). The results show that the benefit generated from the technical trading rules does not differ much if the technical trading rules were to be applied in (i) stock index or commodity index, (ii) stock index or single stock and (iii) conventional stock index or Shariah stock index; similar outcomes will be expected. Thus, the study believes that results obtained shall be worthy to the users; particularly, in the context of assets allocation decision-making.

Download or read book Technical Analysis and Cryptocurrencies written by Robert Hudson and published by . This book was released on 2019 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading rules from the main five classes of technical trading rules and find significant predictability and profitability for each class of technical trading rule in each cryptocurrency. We find that the breakeven transaction costs are substantially higher than those typically found in cryptocurrency markets. To safeguard against data-snooping, we implement a number of multiple hypothesis procedures which confirms our findings that technical trading rules do offer significant predictive power and profitability to investors. We also show that the technical trading rules offer substantially higher risk-adjusted returns than the simple buy-and-hold strategy, showing protection against lengthy and severe drawdowns associated with cryptocurrency markets. However there is no predictability for Bitcoin in the out-of-sample period, although predictability remains in other cryptocurrency markets.

Download or read book On the Profitability of Technical Trading Rules Based on Artifitial Neural Networks written by Fernando Fernández Rodríguez and published by . This book was released on 1999 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Profitability of Technical Trading Rules Based on Artificial Neural Networks written by Fernando Fernández-Rodríguez and published by . This book was released on 1999 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Profitability of Technical Trading Rules in US Futures Markets written by Cheol-Ho Park and published by . This book was released on 2005 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake Dean LeBaron and published by . This book was released on 1996 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced

Download or read book Simple Technical Trading Rules written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stock Price Volatility and Volume written by Ki-Yeol Kwon and published by . This book was released on 1999 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many recent studies in technical trading rules show more potential value than earlier studies. The profitability of the technical trading rules (the filter rules and moving average rules) is investigated for the individual stocks in the first essay. Although the performances of the technical trading rules vary across securities, the 0.5% filter rule and the 10-day moving average rule generally perform well over all securities in the DJIA with one-way 0.1% transaction costs. The second essay consists of an empirical analysis on technical trading rules (the simple price moving average, momentum, and trading volume) in the stock market index. The traditional t-test is applied to examine the value of technical trading rules. The t-test is extended through using the residual bootstrap methodology under the technical trading rules utilizing random walk, GARCH-M and GARCH-M with some instrument variables. Overall, the results show that the technical trading rules add a value to capture profit opportunities over the buy-hold strategy. The generated returns from the null models does not recover the properties (mean and variance) of actual returns. The discrepancies between the simulated returns and the actual returns are large when the trading volume is considered into the technical trading rules. The limitations of test statistics, which are the independence assumption of the samples and observations, are re-solved in the Chapter VI. The application of the bootstrap on the GARCH models is demonstrated and is examined the statistical properties of the maximum likelihood estimates (MLE) on the GARCH model using (1) the parametric bootstrap, (2) non-parametric bootstrap, (3) asymptotic method. The current study uses the Monte Carlo simulation. Unlike conventional statistical methods, the bootstrap method may be relatively robust in terms of accounting for non-normality, autocorrelation, and conditional heteroskedasticity. The results show the empirical justification of bootstrap on the GARCH models.

Download or read book The Profitability of Trading Rules and Volatility in Emerging Financial Markets written by Imad Moosa A and published by ICFAI Books. This book was released on 2007-07-19 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a study of the profitability of technical and fundamental trading rules in emerging financial markets (stock and foreign exchange markets) using Kuwait as a case study. The ultimate objective of the study is to demonstrate that financial vola

Download or read book The Profitability of Technical Trading Rules by Considering Investor Sentiment and EPU Index written by 蘇弈慎 and published by . This book was released on 2020 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Technical Analysis with a Long Term Perspective written by Dušan Isakov and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor's 500 index and we find that trading rules are more profitable when signals are generated over long horizons. Second, we analyse whether financial leverage can improve the profitability of different strategies, which appears to be the case when leverage is achieved with debt. Third, we propose a new market timing test that assesses whether a trading strategy can generate signals corresponding to bull and bear markets. The results of this test show that complex rules produce high proportions of accurate signals.