Profitability of the Technical Indicators-The Case of RSI, OBV, VHF
| Autor: | Yung-WeiJeng, 鄭永偉 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 There are many criticisms about the technical analysis in the finance literature. One of the typical examples is the efficient-market hypothesis, which argues that it is impossible to beat the market consistently as the asset prices fully reflect all available information. In addition, data snooping is an important issue and yet receives inadequate attention when evaluating the profitability of technical analysis. This thesis directly addresses various aspects of technical trading indicators, including but not limited to: the futures contracts rollover, and index futures of major markets, and three technical trading indicators (RSI, OBV, VHF). In particular, different combinations of technical trading strategies are implemented to improve the predictability of technical trading with an extensive set of parameters amounting to 14,952 trading rules. Finally, our results of technical analysis are robust to treatments of rollovers, subsample analysis, and statistical testing without data-snooping. We find that a number of technical trading rules produce promising predictability for a certain market index futures which leads to important implications in technical analysis research and practical futures trading. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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