Study on the Applicability of Technical Analysis in the Czech Stock Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86095405" target="_blank" >RIV/61989100:27510/16:86095405 - isvavai.cz</a>
Result on the web
<a href="http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/kresta.pdf" target="_blank" >http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/kresta.pdf</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Study on the Applicability of Technical Analysis in the Czech Stock Market
Original language description
There are many practitioners believing that the stock markets can be successfully predicted. To support their belief they provide examples of widely known successful traders. However, the existence of successful traders can be explained by the randomness and the huge number of other unsuccessful traders. As we never read about the unsuccessful ones, it may seem to us that the profitable predictions of the markets are possible and these predictions are due to the skill of successful traders, not due to their luck. In the paper we examine the applicability of technical trading rules in the Czech stock market, in particular we backtest the automated trading system based on moving averages crossover, optimize the parameters and statistically test the results for data snooping bias. In order to obtain valid results we assume transaction costs, address the riskiness and possible data snooping bias. We find that the optimized automated trading system outperforms the buy and hold strategy, but the statistical tests provide mixed results.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 15th International Conference on Finance and Banking : 13-14 October 2015, Prague, Czech Republic
ISBN
978-80-7510-186-0
ISSN
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e-ISSN
neuvedeno
Number of pages
9
Pages from-to
221-229
Publisher name
Silesian University in Opava, School of Business Administration in Karviná
Place of publication
Karviná
Event location
Praha
Event date
Oct 13, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000447679800023

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