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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

<a href="/cs/project/GA15-20405S" target="_blank" >GA15-20405S: Modelování procesů na finančních trzích a predikce bankrotu firem aparátem reálných opcí</a><br>

Návaznosti

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

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název statě ve sborníku

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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Počet stran výsledku

7

Strana od-do

3491 - 3497

Název nakladatele

International Business Information Management Association

Místo vydání

Norristown

Místo konání akce

Seville

Datum konání akce

9. 11. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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