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Author : Hao Yu
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.:/5 (676 download)
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:
Author : Jung-Soo Park
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Blake LeBaron
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2000 with total page 17 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.
Author : Julien Hambuckers
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
Download or read book Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules written by Julien Hambuckers and published by . This book was released on 2016 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide a novel way to estimate the out-of-sample predictive ability of a trading rule. Usually, this ability is estimated using a sample-splitting scheme, true out-of-sample data being rarely available. We argue that this method makes poor use of the available data and creates data-mining possibilities. Instead, we introduce an alternative .632 bootstrap approach. This method enables building in-sample and out-of-sample bootstrap datasets that do not overlap but exhibit the same time dependencies. We show in a simulation study that this technique drastically reduces the mean squared error of the estimated predictive ability. We illustrate our methodology on IBM, MSFT and DJIA stock prices, where we compare 11 trading rules specifications. For the considered datasets, two different filter rule specifications have the highest out-of-sample mean excess returns. However, all tested rules cannot beat a simple buy-and-hold strategy when trading at a daily frequency.
Author : Cheol-Ho Park
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (7 download)
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:
Author : Gary Gang Tian
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (13 download)
Download or read book Market Efficiency and Returns to Simple Technical Trading Rules written by Gary Gang Tian and published by . This book was released on 2014 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in markets with different efficiency level. To avoid using arbitrarily selected 26 trading rules as did by Brock, Lakonishok and LeBaron (1992) and later by Bessembinder and Chan (1998), this paper examines predictive power and profitability of simple trading rules by expanding their universe of 26 rules to 412 rules. In order to find out the relationship between market efficiency and excess return by applying trading rules, we examine excess return over periods in US markets and also compare the excess returns between US market and Chinese markets. Our results found that there is no evidence at all supporting technical forecast power by these trading rules in US equity index after 1975. During the 1990's break-even costs turned to be negative, -0.06%, even failing to beat a buy-holding strategy in US equity market. In comparison, our results provide support for the technical strategies even in the presence of trading cost in Chinese stock markets.
Author : Fernando Fernández-Rodríguez
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (594 download)
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:
Author : Mohammad Hanis bin Osman
Publisher :
ISBN 13 :
Total Pages : 350 pages
Book Rating : 4.:/5 (957 download)
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.
Author : Robert Hudson
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
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.
Author : David H. Goldbaum
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (89 download)
Download or read book Technical Trading Rules and Financial Markets written by David H. Goldbaum and published by . This book was released on 1996 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Fernando Fernández Rodríguez
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (432 download)
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:
Author : Fernando Fernández-Rodríguez
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (919 download)
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:
Author : Cheol-Ho Park
Publisher :
ISBN 13 :
Total Pages : 600 pages
Book Rating : 4.:/5 (7 download)
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:
Author : Blake Dean LeBaron
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (346 download)
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:
Author : Ki-Yeol Kwon
Publisher :
ISBN 13 :
Total Pages : 404 pages
Book Rating : 4.:/5 (434 download)
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.
