Research report

Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability

    17.08.2011

40

English This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor’s 500 index and we find that trading rules are more profitable when signals are generated over long horizons. Second, we analyse whether financial leverage can improve the profitability of different strategies, which appears to be the case when leverage is achieved with debt. Third, we propose a new market timing test that assesses whether a trading strategy can generate signals corresponding to bull and bear markets. The results of this test show that complex rules produce high proportions of accurate signals.
Collections
Faculty
Faculté des sciences économiques et sociales
Language
  • English
Classification
Economics
Other electronic version

Faculté SES

Series statement
  • Working Papers SES ; 421
License
License undefined
Identifiers
  • RERO DOC 24769
  • RERO R006358742
Persistent URL
https://folia.unifr.ch/unifr/documents/302015
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