Devising Technical Trading Rules for Pakistan Stock Exchange using Genetic Programming

2020 ◽  
Author(s):  
Atif Rafiq ◽  
Noman Javed ◽  
Muhammad Adil Raja ◽  
Ambreen Hanif ◽  
Conor Ryan
Keyword(s):  
Genetic Programming ◽  
Stock Exchange ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules

Profitability of Trading Strategies Before and During the Greek Crisis: An Empirical Study.

2017 ◽  
Vol 11 (1) ◽  
pp. 1-26
Author(s):  
Efstathios Xanthopoulos ◽  
Konstantinos Aravossis ◽  
Spyros Papathanasiou
Keyword(s):  
Stock Exchange ◽  
Statistical Tests ◽  
Moving Average ◽  
Efficient Market Hypothesis ◽  
Trading Strategies ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Greek Crisis ◽  
Athens Stock Exchange

This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE Large Capitalization index over the seven-year period 2005-2012, which was before and during the Greek crisis. The technical rules that will be explored are the simple moving average, the envelope (parallel bands) and the slope (regression). We compare technical trading strategies in the spirit of Brock, Lakonishok, and LeBaron (1992), employing traditional t-test and Bootstrap methodology under the Random Walk with drift, AR(1) and GARCH(1,1) models. We enrich our analysis via Fourier analysis technique (FFT) and more statistical tests. The results provide strong evidence on the profitability of the examined technical trading rules, even during recession period (2009-2012), and contradict the Efficient Market Hypothesis.

scholarly journals Profitability of the Moving Averages Technical Trading Rules in an Emerging Stock Market: A Study of Stocks Listed in Pakistan Stock Exchange

2020 ◽  
Vol 12 (2) ◽  
pp. 165-176
Author(s):  
Muhammad Arif ◽  
Abdul Rauf Laghari ◽  
Avinash Advani
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Predictive Ability ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Future Studies ◽  
Portfolio Returns

This study examines the profitability of Moving Averages (MA) timing strategy over the buy and hold strategy for individual stocks listed at Pakistan Stock Exchange (PSX). We applied Han, Yang, and Zhou (2013), methodology to individual stock returns and found inconclusive evidence of MA timing strategy’s predictive ability to earn higher returns over buy and hold strategy. We also report market risk-adjusted returns to remove any market movement effects and apply alternative moving averages lag lengths to check the robustness of our results. We observe individual stock returns are noisier than portfolio returns and the simple technical trading rule of moving average lack the ability to predict individual stock returns. We propose the use of more complex trading rules in future studies to ascertain the profitability of technical trading rules in individual stocks.

scholarly journals Profitability of The Moving Averages Technical Trading Rules in an Emerging Stock Market-A Study of Individual Stocks Listed On Pakistan Stock Exchange

2018 ◽  
Vol 14 (2) ◽  
pp. 67-76
Author(s):  
Muhammad Arif ◽  
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Exchange ◽  
Moving Average ◽  
Market Development ◽  
Moving Averages ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Portfolio Returns

This paper investigates the gainfulness of moving averages (MA) timing method over the purchase and hold procedure for single stocks deal in Pakistan Stock Exchange. We used (Han et al., 2013) approach of single stock returns and indeterminate evidence of MA timing methodology insightful ability to increase higher returns over the strategy of purchase and hold. In addition, we report market risk-adjusted returns to expel any market development impacts and apply elective moving averages lag lengths to check the robustness of our outcomes. We look at that individual stock returns are noisier than portfolio returns and the fundamental technical exchanging principle of moving average don't be able to anticipate single stock returns. We propose the utilization of more perplexing trading rules in future investigations to determine the gainfulness of technical trading rules in individual stocks.

scholarly journals The Predictability and profitability of Trading Range Break-out Trading Rules: Evidence from Pakistan Stock Exchange

2021 ◽  
Vol 6 (1) ◽  
pp. 209-215
Author(s):  
Syed Arshad Ali Shah ◽  
Dr.Anwarul Mujahid Shah ◽  
Dr.Saiful Mujahid shah
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Strong Support ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Technical Trading ◽  
Technical Trading Rules ◽  
Trading Rules ◽  
Share Prices ◽  
Academic Literature

The efficient market hypothesis has been one of themost extensively researched topics in the academic literature for decades. An implication ofweak form of efficiency is that the technical trading rules will not produce abnormal returns. The purpose of this research is to analyze findings of application of trading range breakout test on daily closing share prices of 100 companies listed on a Pakistan Stock Exchange over ten years from 2006 to 2015,thus examining its efficiency at the weak form. The results show strong support for trading range break-out rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of the trading range break-out rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

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