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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 : 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 : 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 : Emmanual Acar
Publisher : Butterworth-Heinemann
ISBN 13 : 9780750655163
Total Pages : 474 pages
Book Rating : 4.6/5 (551 download)
Download or read book Advanced Trading Rules written by Emmanual Acar and published by Butterworth-Heinemann. This book was released on 2002-06-05 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world's leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. Advanced Trading Rules demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to generate superior returns, showing how you can stay ahead of the curve by finding out why certain methods succeed or fail. Profit from this book by understanding how to use: stochastic properties of trading strategies; technical indicators; neural networks; genetic algorithms; quantitative techniques; charts. Financial markets professionals will discover a wealth of applicable ideas and methods to help them to improve their performance and profits. Students and academics working in this area will also benefit from the rigorous and theoretically sound analysis of this dynamic and exciting area of finance. The essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers Provides a complete overview of cutting edge financial markets trading rules, including new material on technical analysis and evaluation Demonstrates how to apply econometrics, computer modeling, technical and quantitative analysis to generate superior returns
Author : Imad Moosa A
Publisher : ICFAI Books
ISBN 13 : 8131407179
Total Pages : 222 pages
Book Rating : 4.1/5 (314 download)
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
Author : Cheol-Ho Park
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Profitability of Technical Analysis written by Cheol-Ho Park and published by . This book was released on 2004 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this report is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, quot;earlyquot; and quot;modernquot; studies, according to the characteristics of testing procedures. Early studies indicated that technical trading strategies were profitable in foreign exchange markets and futures markets, but not in stock markets before the 1980s. Modern studies indicated that technical trading strategies consistently generated economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative results. Ten studies indicated mixed results. Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.
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 : Dimitris Kenourgios
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Profitability of Technical Trading Rules in an Emerging Market written by Dimitris Kenourgios and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE 20 index during the period 1995 to 2008. We focus on a less developed and efficient stock market, given the existing scarcity of research in such markets. The technical rules that will be explored are simple moving averages. We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t test and bootstrap methodology under the generalized autoregressive conditional heteroscedasticity model. The results provide strong evidence on the profitability of the technical trading rules against the “buy and hold” strategy and contradict the efficient market hypothesis.
Author : Min Qi
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (129 download)
Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.
Author : Ioannis Psaradellis
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.:/5 (13 download)
Download or read book Performance of Technical Trading Rules written by Ioannis Psaradellis and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano and Wolf (2007) and Bajgrowicz and Scaillet (2012) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.
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 : Philipp Jan Siegert
Publisher : GRIN Verlag
ISBN 13 : 3638432440
Total Pages : 76 pages
Book Rating : 4.6/5 (384 download)
Download or read book Technical Trading Rules Empirical Evidence from Future Data written by Philipp Jan Siegert and published by GRIN Verlag. This book was released on 2005-10-27 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, Sophia Antipolis Campus (France); SKEMA Business School (Global Finance Chair), language: English, abstract: Most banks and the recently upcoming hedge fund industry rely to a different extent on technical trading rules and technical analysis. The fact that these technical trading rules yield superior returns in practice raises several questions that will be examined in the thesis. First, one of the most crucial questions is in which assets technical trading rules perform extraordinarily well. This analysis is based on a risk-return approach with an assessment of the negative standard deviation of each asset as a risk indicator. Second, the statistical significance of technical trading is examined by using a simulation method known as bootstrap. Third, null models are simulated to answer the question to what extent autoregressive models and GARCH models are able to capture the dependencies in the time series. Finally, a rule optimizer is used to assess if any rule parameters yield superior returns over a wide range of assets. We find that under a risk-return perspective trading rules look very attractive as most rules are able to significantly reduce the negative standard deviation compared to a buy-and-hold strategy. However, not all rules are able to outperform a simple buy-and-hold strategy in terms of absolute return. Statistical significance is generally weak and only some rules can be qualified as highly statistically significant. We do not find much evidence that autoregressive and GARCH null models perform well in capturing the dependencies that lead to superior returns of technical trading rules. With respect to trading rule parameters we find that shorter rules generally perform better when trading costs are not considered and that currencies benefited from a larger standard deviation trading band.
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 : 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.
Author : Camillo Lento
Publisher :
ISBN 13 :
Total Pages : 9 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long-Term Dependencies and the Profitability of Technical Analysis written by Camillo Lento and published by . This book was released on 2009 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The profitability of nine trading rules and the Hurst exponent (H) were calculated on fifteen of the largest global equity markets in order to determine if technical trading rules are more profitable in markets characterized by long-term dependencies. Pearson correlation and regression analysis suggests that there is some association (rho = 26%) between the profitability of trading rules and the Hurst exponent. However, the fact that many of the trading rules were profitable in markets with low H suggests that the trading rules are able to generate useful information by processing past prices into a more informative trading signal than that provided by the random-walk model.
Author : Charles Lebeau
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.4/5 (91 download)
Download or read book Technical Traders Guide to Computer Analysis of the Futures Markets written by Charles Lebeau and published by McGraw-Hill Companies. This book was released on 1992 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the low cost of modern computer hardware and software combined with the communication of price data via satellite, a new and rapidly expanding market of traders using computers has developed. This essential book bridges the gap between the basic instruction that comes with software programs and what a trader actually needs to know to develop and text profitable futures trading system. With specific information on how to set up and use computer-generated technical studies of the most popular indicators, the book includes: How to build a trading system tailored to the reader's specific need; Practical instruction on how to display and analyze technical information; Advice for developing well disciplined money management and risk control strategies; techniques for monitoring a trading system to detect if something has gone wrong before major losses occur.
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.
