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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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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
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e-ISSN
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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
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