Commodity channel index: Evaluation of trading rule of agricultural commodities

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F16%3A72492" target="_blank" >RIV/60460709:41110/16:72492 - 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

Commodity channel index: Evaluation of trading rule of agricultural commodities

Popis výsledku v původním jazyce

This paper is focused on evaluating the trading rule of indicator commodity channel index (CCI), using selected agricultural commodities. The reason of testing is that this indicator is calculated with respect to fluctuation of commodity market - volatility. The recent issue of commodity markets examines trading under risk. The concept is in analyzing of predictive power of CCI. The main core of this paper is if the trading strategy under evaluating using technical analysis, respectively CCI, reaches positive profit. The returns of trading rule are measured using signals to buying or selling and comparison each of them. Authors of this paper created trading rule based on CCI and tested it on commodity markets. The results are positive in term of % CCI. Findings of the strategy are positive due to measurement volatility involved in indicator. The commodity markets are volatile, time series are fluctuating due to actual announcements or news.

Název v anglickém jazyce

Commodity channel index: Evaluation of trading rule of agricultural commodities

Popis výsledku anglicky

This paper is focused on evaluating the trading rule of indicator commodity channel index (CCI), using selected agricultural commodities. The reason of testing is that this indicator is calculated with respect to fluctuation of commodity market - volatility. The recent issue of commodity markets examines trading under risk. The concept is in analyzing of predictive power of CCI. The main core of this paper is if the trading strategy under evaluating using technical analysis, respectively CCI, reaches positive profit. The returns of trading rule are measured using signals to buying or selling and comparison each of them. Authors of this paper created trading rule based on CCI and tested it on commodity markets. The results are positive in term of % CCI. Findings of the strategy are positive due to measurement volatility involved in indicator. The commodity markets are volatile, time series are fluctuating due to actual announcements or news.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

International Journal of Economics and Financial Issues

ISSN

2146-4138

e-ISSN

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Svazek periodika

6

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

MY - Malajsie

Počet stran výsledku

3

Strana od-do

176-178

Kód UT WoS článku

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EID výsledku v databázi Scopus

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