Profitability of Selected Technical Analysis Indicators

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Profitability of Selected Technical Analysis Indicators

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Profitability of Selected Technical Analysis Indicators

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 15th International Scientific Conference

ISBN

978-80-210-8980-8

ISSN

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e-ISSN

neuvedeno

Počet stran výsledku

8

Strana od-do

591-598

Název nakladatele

Masarykova univerzita

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

25. 6. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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