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

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

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

Proceedings of the 15th International Conference on Finance and Banking : 13-14 October 2015, Prague, Czech Republic

ISBN

978-80-7510-186-0

ISSN

—

e-ISSN

neuvedeno

Počet stran výsledku

9

Strana od-do

221-229

Název nakladatele

Silesian University in Opava, School of Business Administration in Karviná

Místo vydání

Karviná

Místo konání akce

Praha

Datum konání akce

13. 10. 2015

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000447679800023