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
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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 & Hold (B&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&H strategy in the long term, while the models based on MCA are able to outperform the B&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&H strategy.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
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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
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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
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