Advanced trading strategies - page 2

Karaduman:
And what do you think about simple classic strategies, like fibonacci? I find it rather usefull and effective. For short term deals it's really good as for me, it doesn't need a lot of time, the main thing is to trade in the afternoon, the there is a nescast

In this paper we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm

Over 5,000 popular technical trading rules are not consistently profitable in the 49 country indices that comprise the Morgan Stanley Capital Index once data snooping bias is accounted for. Each market has some rules that are profitable when considered in isolation but these profits are not statistically significant after data snooping bias adjustment. There is some evidence that technical trading rules perform better in emerging markets than developed markets, which is consistent with the finding of previous studies that these markets are less efficient, but this result is not strong. While we cannot rule out the possibility that these trading rules compliment other market timing techniques or that trading rules we do not test are profitable, we do show that over 5,000 trading rules do not add value beyond what may be expected by chance when used in isolation during the time period we consider.

While the fundamental and technical analysis literatures invest considerable effort in assessing their respective ability to explain share prices, they invariably do so without reference to each other. In this context, we propose an equity valuation model integrating both fundamental and technical analysis and, in doing so, recognize their potential as complements rather than as substitutes. Testing confirms the complementary nature of fundamental and technical analysis by showing that, while each performs well in isolation, models integrating both have superior explanatory power. While our findings relate to the valuation of shares, they also have implications for other valuation exercises.

In this paper, we re-examine the profitability of technical analysis using White's Reality Check and Hansen's SPA test that correct the data snooping bias. Comparing to previous studies, we study a more complete universe of trading techniques, including not only simple rules but also investor's strategies, and we test the profitability of these rules and strategies with four main indices. It is found that significantly profitable simple rules and investor's strategies do exist in the data from relatively young markets (NASDAQ Composite and Russell 2000) but not in the data from relatively mature markets (DJIA and S&P 500). Moreover, after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods. Our results thus suggest that the degree of market efficiency may be related to market maturity. It is also found that investor's strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules.

There is an age-old debate between technicians and fundamental analysts, the leading schools of thought in investment management. We answer that debate via a comprehensive analysis of technical and fundamental investment recommendations broadcasted on the TV show “Talking Numbers.” In particular, we study 1,599 dual recommendations, where each recommendation features a fundamental and a technical forecast. The evidence shows that technicians possess superior skills in predicting individual stock returns up to a twelve-month horizon, while fundamental analysts exhibit weaker predictive ability. Beyond that, neither group is able to predict returns on market-wide indexes, equity sectors, bonds, or commodities.

PierreG:
Study, be disciplined, read everything and be a little lucky