Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?

Isakov, Dušan; Hollistein, Marc

doi:10.2139/ssrn.904366

Cited by 34 publications

(10 citation statements)

References 17 publications

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“…Hudson et al (1996), who replicate BLL's tests on the UK stock market for the period 1935-1994, found that any profitable results vanished when trading costs were considered. Isakov and Hollistein (1998) confirm the same result in Swiss stock prices for the period 1969-1997. Levich and Thomas (1993) and Kho (1996) found some profitable results with the MA strategies in the foreign exchange futures markets, even after accounting for transaction costs.…”

Section: E X Ta N T R E S E a R C Hsupporting

confidence: 83%

“…The idea is to check if the technical trading rules are robust to other specifications of the return-generating process by calculating p-values from a simulated empirical distribution. Isakov and Hollistein (1998) acknowledge that the predictability of asset returns could be due to some well-known features of the data such as non-normality, serial correlation and time-varying moments, and perform bootstrap tests to check if these features bias the test statistics. Assuming that the returns follow an AR(1)-GARCH(1,1) process, their results indicate that, although the features are present in the data, they are not the cause of profitability (in the absence of trading costs) of the technical trading rules.…”

Section: Ata S N O O P I N Gmentioning

confidence: 99%

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Market Efficiency in the Second-hand Market for Bulk Ships

Ådland

Koekebakker

2004

Marit Econ Logist

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According to the Efficient Market Hypothesis (EMH), the use of technical trading rules, where buy and sell decisions are based on past price patterns, should not consistently yield an economically significant excess profit. This paper evaluates the validity of the EMH in the second-hand market for bulk ships based on the out-of-sample performance of technical trading rules. We evaluate a large number of different parameterisations of three of the simplest and most popular trading rules in the financial markets: filter rules, moving averages, and support and resistance levels. The empirical results suggest that trading rules are generally not capable of producing excess wealth over the buy-and-hold benchmark when accounting for transaction costs and the potential price slippage in an illiquid market. The results in this paper therefore support the validity of the EMH in the second-hand markets for bulk vessels. Maritime Economics & Logistics (2004) 6, 1–15. doi:10.1057/palgrave.mel.9100092

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Section: E X Ta N T R E S E a R C Hsupporting

confidence: 83%

Section: Ata S N O O P I N Gmentioning

confidence: 99%

Market Efficiency in the Second-hand Market for Bulk Ships

Ådland

Koekebakker

2004

Marit Econ Logist

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“…These oscillators should indicate when an asset is overbought or oversold and they are supposed to give appropriate signals when to step out of the market. Isakov and Hollistein (1999) find that the use of oscillators does not add to the performance of the moving averages. For the basic moving average strategies they find an average yearly excess return of 18% on the SBC index.…”

Section: Futures Contracts Traded At the International Monetary Markementioning

confidence: 82%

Technical Analysis in Financial Markets

Hommes

Griffioen

2003

SSRN Journal

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“…Fama, ; Neftci, ) have concluded that TA is not able to predict future movements in the stock market, and that a simple buy‐and‐hold strategy outperforms trading rules. Isakov and Hollistein () report that transaction costs eliminate technical trading profits in the Swiss stock market. They suggest conditions where large investors may profit from MA trading rules.…”

Section: Literature Reviewmentioning

confidence: 99%

Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis

McAleer

Suen

Wong

2016

The Japanese Economic Review

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This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with knowing and without trading rules. The empirical results show that by applying long and short strategies during the bubble formation and short strategies after the bubble burst, it not only produces returns that are significantly greater than buy and hold strategies, but also produces greater wealth compared with TA strategies without trading rules. We conclude these bubble detection signals help investors generate greater wealth from applying appropriate long and short Moving Average (MA) strategies.

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Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?

Cited by 34 publications

References 17 publications

Market Efficiency in the Second-hand Market for Bulk Ships

Market Efficiency in the Second-hand Market for Bulk Ships

Technical Analysis in Financial Markets

Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis

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