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The Length of Minor Trend Duration and Its Applicability in Technical Analysis

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F16%3A43930001" target="_blank" >RIV/49777513:23510/16:43930001 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    The Length of Minor Trend Duration and Its Applicability in Technical Analysis

  • Original language description

    This study focuses on modelling short term share (stock) price movements. The aim is to create an indicator of technical analysis. We work on the assumption that if the share price rises (fall) for several consecutive days, the share price will very likely move in the opposite direction for the following days. The buying signal is generated after several days of price decrease and the selling signal is generated after several days of growth. We assume that the stock price oscillates around its unknown intrinsic value. If it deviates from this value, it tends to be restored. Profitability of this indicator is checked up on the shares of the company CEZ (Czech Power Company). We have daily opening and closing prices in a ten years time period from 2006 to the end of 2015. The results show that trading on the basis of this indicator beats the passive strategy Buy and hold. The best results were obtained in the cases when the trading signals were generated after two and three days decrease or growth.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BB - Applied statistics, operational research

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA15-20405S" target="_blank" >GA15-20405S: Modelling of processes on financial markets and prediction of firm default by real options</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2016

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Innovation Management, Development Sustainability, and Competitive Economic Growth

  • ISBN

    978-0-9860419-8-3

  • ISSN

  • e-ISSN

  • Number of pages

    7

  • Pages from-to

    3491 - 3497

  • Publisher name

    International Business Information Management Association

  • Place of publication

    Norristown

  • Event location

    Seville

  • Event date

    Nov 9, 2016

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article