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Profitability of Selected Technical Analysis Indicators

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23510%2F18%3A43952697" target="_blank" >RIV/49777513:23510/18:43952697 - isvavai.cz</a>

  • Result on the web

    <a href="https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Profitability of Selected Technical Analysis Indicators

  • Original language description

    This empirical study is another part of our long-term research that deals with stochastic modelling of a short-term share price development. We use Markov Chain Analysis (MCA) to predict the share price development. The principal of this method consists in finding such states in which there is a high probability of changing the tertiary trend. These states are then used to generate buy and sell signals. The aim of this study is to compare the profitability of a business strategy using MCA with varying state space with the selected indicators of technical analysis. The indicators that are often recommended in traders´ articles, i.e. MACD, RSI and OBV, have been selected for this comparison. The basic success rate of individual methods is to overcome the profitability of the Buy &amp; Hold (B&amp;H) passive strategy, profitability of which is calculated as well. The study was performed using historical daily prices (open and close) of the ČEZ´s shares for a period of 12 years; from the beginning of 2006 until the end of 2017 (3 010 trading days). Based on the results of some selected technical indicators it can be stated that none of them outperforms the B&amp;H strategy in the long term, while the models based on MCA are able to outperform the B&amp;H strategy. If we include fees, the trading strategy using the MCA is unprofitable. Only trading based on the RSI would bring a positive appreciation and slightly outperform the B&amp;H strategy.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2018

  • Confidentiality

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

Data specific for result type

  • Article name in the collection

    Proceedings of the 15th International Scientific Conference

  • ISBN

    978-80-210-8980-8

  • ISSN

  • e-ISSN

    neuvedeno

  • Number of pages

    8

  • Pages from-to

    591-598

  • Publisher name

    Masarykova univerzita

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Jun 25, 2018

  • Type of event by nationality

    EUR - Evropská akce

  • UT code for WoS article