Moving Average Trading Rules for NASDAQ Composite Index

This paper tests a few moving average technical trading rules for the NASDAQ Composite and Goldman Sack commodity indexes from 1972 to 2015. Our results indicate that moving average rules do exhibit strong predictive power for NADSAQ composite index but much weaker predictive power for GSCI. Can a trader use this predictive to beat the B&H strategy? We show that MA-100 days could most of the time make an abnormal profit in the case of NASDAQ composite index by considering both transaction costs and risk.

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The Profitability Of Technical Trading Rules: A Combined Signal Approach

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v23i1.1405 ◽

2011 ◽

Vol 23 (1) ◽

Cited By ~ 11

Author(s):

Camillo Lento ◽

Nikola Gradojevic

Keyword(s):

Exchange Rate ◽

Moving Average ◽

Composite Index ◽

Font Size ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Nasdaq Composite Index ◽

Spot Exchange Rate ◽

Filter Rules

The focus of this paper is to determine the profitability of technical trading rules by evaluating their ability to outperform the naïve buy-and-hold trading strategy. Moving average cross-over rules, filter rules, Bollinger Bands, and trading range break-out rules are tested on the S&P/TSX 300 Index, the Dow Jones Industrial Average Index, NASDAQ Composite Index, and the Canada/U.S. spot exchange rate. After accounting for transaction costs, excess returns are generated by the moving average cross-over rules and trading range break-out rules for the S&P/TSX 300 Index, NASDAQ Composite Index and the Canada/U.S. spot exchange rate. Filter rules also earn excess returns when applied on the Canada/U.S. spot exchange rate. The bootstrap methodology is used to determine the statistical significance of the results. The profitability of the technical trading rules is further enhanced with a combined signal approach.

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Are Moving Average Trading Rules Profitable? Evidence From The Mexican Stock Market

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v24i1.1372 ◽

2011 ◽

Vol 24 (1) ◽

Author(s):

Massoud Metghalchi ◽

Xavier Garza-Gomez ◽

Yong Glasure ◽

Yung-Ho Chang

Keyword(s):

Stock Market ◽

Transaction Costs ◽

Predictive Power ◽

Moving Average ◽

Trading Costs ◽

Font Size ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Price Patterns

This paper tests three moving average technical trading rules for the Mexican Stock Market. Results indicate that moving average rules do indeed have predictive power and can discern recurring-price patterns for profitable trading and support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be in the range of 1% to 3% over the period under consideration. These break-even costs, we believe, are large compared to recent estimates of actual trading costs, implying that moving average trading rules have predictive power and can generate consistent profits even after transaction costs are considered.

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Ownership Restriction, Information Diffusion Speed, and the Performance of Technical Trading Rules in Chinese Domestic and Foreign Shares Markets

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091507001215 ◽

2007 ◽

Vol 10 (04) ◽

pp. 585-617 ◽

Cited By ~ 3

Author(s):

Wei Li ◽

Steven Shuye Wang

Keyword(s):

Transaction Costs ◽

Information Diffusion ◽

Predictive Power ◽

Technical Trading ◽

Technical Trading Rules ◽

Foreign Investors ◽

Trading Rules ◽

Share Ownership ◽

Diffusion Of Information ◽

Diffusion Speed

We examine the performance of technical trading rules in Chinese domestic A-share and foreign B-share markets. After controlling for non-synchronous trading and transaction costs, we find evidence to support the predictability and profitability of some of the most popular technical trading rules for B-shares but not for A-shares. However, after February 19, 2001, when domestic investors were allowed to trade B-shares, the predictive power of the trading rules in B-share markets disappeared. We conjecture that the predictability of technical trading rules in B-share markets can be attributed to the gradual diffusion of information among foreign investors under the foreign share ownership restriction, and, partly, to positive autocorrelations induced by thin trading.

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Market Efficiency For S&P 500: 1954-2004

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v4i7.3603 ◽

2011 ◽

Vol 4 (7) ◽

Author(s):

Massoud Metghalchi ◽

Xavier Garza-Gomez ◽

Chien-Ping Chen ◽

Stanley Monsef

Keyword(s):

Market Efficiency ◽

Predictive Power ◽

Moving Average ◽

Stock Index ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Daily Data ◽

Market Inefficiency ◽

Price Patterns

This paper tests three moving average technical trading rules for the S&P 500 stock index. Using daily data from 1954 to 2004, our results indicate that moving average rules did indeed had predictive power and could discern recurring-price patterns for the period up to mid 1980s. However, since mid 1980s, technical trading rules do not work and could not discern recurring-price patterns. Our results are consistent with market inefficiency from 1954 to 1984 and market efficiency from 1984 to present.

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Lost Decade, Market Efficiency and Technical Trading Rules: Evidence from Greece

The Journal of Prediction Markets ◽

10.5750/jpm.v9i1.995 ◽

2015 ◽

Vol 9 (1) ◽

pp. 15-32

Author(s):

Massoud Metghalchi

Keyword(s):

Transaction Costs ◽

Market Efficiency ◽

Predictive Power ◽

Share Price ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Technical Indicators ◽

Daily Data ◽

Lost Decade

We apply several well-known technical indicators to the daily data for the Athens Composite Share Price from 1/2/2000 to 12/31/2012. Our findings strongly support the predictive power of technical trading rules; further, we ask whether this predictive power of technical analysis can be exploited to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. We conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

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Market Efficiency and Profitability of Technical Trading Rules: Evidence from Vietnam

The Journal of Prediction Markets ◽

10.5750/jpm.v7i2.632 ◽

2013 ◽

Vol 7 (2) ◽

pp. 11-27 ◽

Cited By ~ 2

Author(s):

Massoud Metghalchi

Keyword(s):

Transaction Costs ◽

Market Efficiency ◽

Predictive Power ◽

Stock Index ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Technical Indicators ◽

Empirical Results ◽

Daily Data

Market Efficiency and Profitability of Technical Trading Rules: Evidence from Vietnam Abstract We apply several well-known and popular technical indicators to the daily data for the Vietnam Ho Chi Minh stock index (VSI) from 5/15/2002 to October 31 of 2012. The empirical results strongly support the predictive power of technical trading rules; these strong results also hold for each sub-period analyzed. Further, we ask whether a trader can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

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Contrarian Technical Trading Rules: Evidence From Nairobi Stock Index

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v30i3.8568 ◽

2014 ◽

Vol 30 (3) ◽

pp. 833 ◽

Cited By ~ 1

Author(s):

Massoud Metghalchi ◽

John Kagochi ◽

Linda A. Hayes

Keyword(s):

Transaction Costs ◽

Predictive Power ◽

Stock Index ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Daily Data ◽

Study Support ◽

Technical Rules

We apply several popular technical trading rules in the normal way and a contrarian way to daily data of the Nairobi Stock Index from 9/12/2006 to 4/18/2013. The contrarian usage of popular technical trading rules implies that when a technical trading indicator emits buy (sell) signals, we do the opposite and sell (buy) the index. Results from the study support the predictive power of contrarian technical trading rules. We also investigate whether a trader can use the predictive power of contrarian technical rules to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. Designing four strategies of various contrarian trading rules, we conclude that it is possible to beat the buy-and-hold strategy even considering transaction costs and risk.

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Profitable Technical Trading Rules For The Austrian Stock Market

International Business & Economics Research Journal (IBER) ◽

10.19030/iber.v6i9.3405 ◽

2011 ◽

Vol 6 (9) ◽

Cited By ~ 1

Author(s):

Massoud Metghalchi ◽

Yong Glasure ◽

Xavier Garza-Gomez ◽

Chien Chen

Keyword(s):

Stock Market ◽

Predictive Power ◽

Moving Average ◽

Trading Costs ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Price Patterns

Two moving average technical trading rules for the Austrian stock market are tested. Results indicate that moving average rules do indeed have predictive power and could discern recurring-price patterns for profitable trading. Results also support the hypothesis that technical trading rules can outperform the buy-and-hold strategy. Break-even one-way trading costs are estimated to be between .61 and 2.36 %. These break-even costs are larger than recent estimates of actual trading costs, implying profitable trading rules for the Austrian stock market.

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EMERGENT CAPITAL MARKETS’ EFFICIENCY: THE CASE OF POLAND

The Journal of Prediction Markets ◽

10.5750/jpm.v8i1.850 ◽

2014 ◽

Vol 8 (1) ◽

pp. 27-41 ◽

Cited By ~ 3

Author(s):

Massoud Metghalchi ◽

Adriano Pinho ◽

Adriana Sarmento

Keyword(s):

Transaction Costs ◽

Capital Markets ◽

Predictive Power ◽

Technical Analysis ◽

Entire Period ◽

Stock Index ◽

Technical Trading ◽

Technical Trading Rules ◽

Trading Rules ◽

Technical Indicators

We apply two well-known technical indicators to the Polish Stock index over the period of 9/4/1998 to 4/18/2013. Our findings support the predictive power of technical trading rules for each sub-period and for the entire period. We then ask whether an investor can use the predictive power of technical analysis to beat the profitability of the buy-and-hold strategy considering both transaction costs and risk. We conclude that it is not possible to beat the buy and hold strategy when considering transaction costs and risk. We could say the Polish market is efficient.

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

The Journal of Prediction Markets ◽

10.5750/jpm.v11i1.1322 ◽

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.

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