scholarly journals Medias Móviles, como alternativas de inversión en un índice accionario.

2020 ◽  
Author(s):  
Gerardo Ablanedo Rosas ◽  
Lágrima De María Azcárraga Montiel ◽  
Edmundo Mejía Sánchez
Keyword(s):  
Quantitative Research ◽  
Historical Data ◽  
Moving Average ◽  
Technical Analysis ◽  
Stock Index ◽  
Back Testing ◽  
A Value ◽  
Stock Investment ◽  
Convergence And Divergence

  RESUMEN En inversión accionaria, identificar la tendencia del precio es importante para tomar decisiones de compra o venta de títulos o valores bursátiles. Dentro del análisis técnico, existen métodos que intentan predecir el comportamiento de un valor en función a datos históricos. En este trabajo se analizan dos estrategias de análisis técnico: la media móvil exponencial y la media móvil de convergencia y divergencia. Se generan datos históricos y se observa su comportamiento en el tiempo. Las estrategias se aplican a precios históricos del índice accionario del país Singapur que, por su movimiento lateral, es difícil de predecir y las medias móviles serían la herramienta que apoyaría la decisión del inversor. Además, y para fundamentar las conclusiones de éste trabajo, los resultados que se obtienen se comparan con la estrategia “buy and hold” que corresponde a comprar y mantener durante largo plazo y se exponen los efectos. Este trabajo es una investigación cuantitativa basada en el método empírico-analítico, que muestra las consecuencias de aplicar la media móvil exponencial y la media móvil de convergencia y divergencia a gráficos diarios del índice accionario mencionado. Se pretende identificar la herramienta de mayor funcionalidad que reconozca el mayor número de aciertos con posiciones largas y cortas, lo que permitiría incrementar los rendimientos de inversiones especulativas y con ello orientar al inversionista sobre la mejor estrategia. Los resultados basados en pruebas de back testing demuestran que, en ocasiones, el análisis técnico y el uso de medias móviles que son herramientas sofisticadas de trading, no generan altos rendimientos y que la estrategia más sencilla basada en comprar y esperar puede ser más rentable en el largo plazo.ABSTRACT In stock investment, identifying the price trend is important to make decisions to buy or sell securities or securities. Within the technical analysis, there are methods that try to predict the behavior of a value based on historical data. In this paper, two technical analysis strategies are analyzed: the exponential moving average and the moving convergence and divergence average. Historical data are generated and its behavior over time is observed. The strategies are applied to historical prices of the stock index of the country Singapore, which, due to its lateral movement, is difficult to predict and the moving averages would be the tool that would support the decision of the investor. In addition, and to base the conclusions of this work, the results obtained are compared with the "buy and hold" strategy that corresponds to buying and maintaining for a long term and the effects are exposed. This work is a quantitative research based on the empirical-analytical method, which shows the consequences of applying the exponential moving average and the moving average of convergence and divergence to daily charts of the aforementioned stock index. The aim is to identify the tool with the most functionality that recognizes the greatest number of successes with long and short positions, which would allow to increase the yields of speculative investments and thereby guide the investor on the best strategy. The results based on back testing prove that, at times, technical analysis and the use of mobile averages that are sophisticated trading tools do not generate high returns and that the simpler strategy based on buying and waiting can be more profitable in the long-term. Keywords: Technical analysis; Exponential moving average; Moving average of convergence and divergence; Trend. 

Testing Technical Trading Rules: Evidence from SAARC Countries

2018 ◽  
Vol 1 ◽  
pp. 1-36
Author(s):  
Faisal Anees ◽  
Shujahat Haider Hashmi ◽  
Muhammad Asad
Keyword(s):  
Historical Data ◽  
Moving Average ◽  
Technical Analysis ◽  
Moving Averages ◽  
Short Term ◽  
Technical Trading Rules ◽  
Average Rule ◽  
Data Representative ◽  
Simple Average

Technical analysis is widely accepted tool in professional place which is frequently used for investment decisions. Technical analysis beliefs that there exist patterns and trends and by capturing trends and patterns one can bless with above average profits. We test two technical strategies: Moving averages and Trading Range to question, either these techniques can yield profitable returns with the help of historical data. Representative daily indices of Four countries namely Pakistan, India, Srilanka, Bangladesh ranging from 1997 to 2011 have been examined. In case of Moving Average Rule, both simple and exponential averages have been examined to test eleven different short term and long term rules with and without band condition. Our results delivered that buy signals generate consistent above average returns for the all sub periods and sell signals generate lower returns than the normal returns. Intriguing observation is that Exponential average generates higher returns than the Simple Average. The results of Trading Range Break strategy are parallel with Moving average Method. However, Trading Range Strategy found not to give higher average higher return when compared with Moving Averages Rules and degree of volatility in returns is higher when compared with moving Average rule. In attempt to conclude, there exist patterns and trends that yield above average and below average returns which justify the validity of technical analysis.

scholarly journals FORECASTING HARGA SAHAM MENGGUNAKAN METODE SIMPLE MOVING AVERAGE DAN WEB SCRAPPING

2019 ◽  
Vol 21 (3) ◽  
pp. 234-241
Author(s):  
Dessy Tri Anggraeni
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Moving Average ◽  
Technical Analysis ◽  
Secondary Market ◽  
A Value ◽  
Price History ◽  
The Difference ◽  
Absolute Percent Error ◽  
Error Method

Abstract:  The fluctuative of stock prices in a secondary market provide the possibility for investors/traders to gain profits through the difference in stock prices (capital gain). In order to obtain these benefits, it is necessary to analyze before buying shares, through fundamental and technical analysis. One of several methods in Technical Analysis is Simple Moving Average Method. This method can be used to predict (forecast) stock prices by calculating moving average of the stock price history. Historical stock prices can be obtained in real time using the Web Scrapper technique, so the results is more quickly and accurately. Using the MAPE (Mean Absolute Percent Error) method, the level of accuracy of forecasting can be calculated. As a result, the program was able to run successfully and was able to display the value of forecasting and the level of accuracy for the entire data tested in LQ45. Besides forecasting with a value of N = 5 has the highest level of accuracy that reaches 97,6 % while the lowest one is using the value of N = 30 which is 95,0 %.

scholarly journals PELATIHAN INDENTIFIKASI INDEKS SAHAM USA UNTUK MEMPREDIKSI FLUKTUASI IHSG: LINCOM ANALYSIS PADA NASABAH TYPE SWINGER RELIANCE SURAKARTA

WASANA NYATA ◽  
2020 ◽  
Vol 4 (1) ◽  
pp. 33-37
Author(s):  
Tri Widianto ◽  
Yenni Khristiana ◽  
Nugroho Wisnu Murti
Keyword(s):  
Capital Market ◽  
Technical Analysis ◽  
Industrial Sector ◽  
Daily Basis ◽  
Capital Gains ◽  
Stock Index ◽  
Fundamental Analysis ◽  
Short Period ◽  
Market Practices

ABSTRACT            Capital market practices in the type of stock instruments undergo a shift in the way of analysis. This is not in line with the theory of stock fundamental analysis which explains that fundamental factors become the main variable in determining stock investment decisions for the long term. Fundamental analysis of stocks takes into account various factors including company performance, macroeconomic analysis and the industrial sector. The fundamental variable of stock analysis is used as a consideration of the investment portfolio of the stock for the long term. Users of these variables are usually the owners of capital with the type of investor. Investor type is the owner of capital with the main purpose of buying shares by expecting stock valuations in the long run and dividends, not short-term capital gains. The need for the development of applied science of technical analysis and fundamental analysis of stock investors who have a form of trading activities on a daily basis generally only conduct transactions on the capital market using speculation from each investor. This of course in terms of education that novice stock investors do must have the same time in obtaining maximum income in the trading stock market            This service is carried out on customers of PT Reliance Surakarta. There were 13 training participants, namely customers who became stock investors but did not trade every day for a short period of time. The service was held for 1 day. Expected outputs from the event are expected that after attending the training the participants are expected to be able to carry out fundamental and technical analysis of JCI fluctuations on a daily basisKeywords: Stock index, JCI Fluctuation Prediction, Swinger Type

scholarly journals IMPLEMENTATION OF MULTICRITERIA MOVING AVERAGE CROSSOVER INDICATORS AS THE BASIS FOR TECHNICAL ANALYSIS DECISION MAKING AT THE FUTURES EXCHANGE

2019 ◽  
Vol 19 (2) ◽  
pp. 160
Author(s):  
Zian Ibnu Z.A.B ◽  
Karmilasari Karmilasari
Keyword(s):  
Foreign Exchange ◽  
Analytical Hierarchy Process ◽  
Moving Average ◽  
Technical Analysis ◽  
Double Crossover ◽  
Existing Problems ◽  
Back Testing ◽  
Short Time ◽  
Hierarchy Process ◽  
Crossover Method

The purpose of this paper is to minimize the risk of trading option and futures through conducting technical analysis utilizing Double Crossover Method. Hence, it tries to seek the answer on some problems including trading foreign exchange without having to make official and uncomplicated investments, trading without having to spend a lot of time, testing double crossover methods in a short time, and how to determine the most effective double crossover methods with multi-criteria considerations. This research utilized both Backtesting and Analytical Hierarchy Process (AHP) methods. Based on the results of these stages, it was found that MT4 FXDD, SMA 5 - 10 pairs on H4 Timeframes, Expert Advisors, and Back testing were the answers to the existing problems. For general investors, this strategies support their activities on getting real and efficient foreign exchange trading facilities without joining procedural and official investments in the futures exchange.Efficient decision makers tools can be utilized in trading to avoid or minimize the loss by6applying the most effective double crossover method priority used as a technical analysis in trading foreign exchange based on test results. Trading foreign exchange previously was utilizing single lines moving average that has some waeknesses. This study tries to shed the light of double crossover method, utilizing two lines of moving averages to generate trading signals effectively and accurately in minimizing loss. Keywords—F31 Foreign Exchange, G13 Futures Pricing, F17 Trade Forecasting and Simulation, E22 Investment Abstrak Artikel ini bertujuan untuk meminimalkan risiko trading option and futures melalui penggunaan analisis teknis dengan menggunakan Metode Double Crossover. Oleh karena itu, penelitian ini mencoba mencari jawaban pada beberapa masalah terkait dengan hal berikut yaitu: bagaimana melakukan perdagangan valuta asing tanpa harus melakukan investasi resmi dan tidak rumit, bagaimana melakukan perdagangan tanpa harus menghabiskan banyak waktu, bagaimana menguji metode Double Crossover dalam waktu singkat, dan bagaimana menentukan metode Double Cross over yang paling efektif dengan pertimbangan multi-kriteria. Penelitian ini menggunakan metode Backtesting dan Analytical Hierarchy Process (AHP). Berdasarkan hasil penelitian ditemukan bahwa jawaban dari masalah yang dicari dalam penelitian ini secara berurutan yaitu menggunakan aplikasi MT4 FXDD, SMA 5 - 10 pasang pada H4 Timeframes, Expert Advisors, dan Backtesting. Hasil penelitian ini dapat dimanfaatkan oleh investor umum karena strategi ini mendukung kegiatan mereka dalam mendapatkan fasilitas perdagangan valuta asing yang nyata dan efisien tanpa bergabung dengan investasi resmi dan penuh prosedural di bursa berjangka. Selanjutnya, Alat pembuat keputusan yang efisien dapat dimanfaatkan oleh investor untuk menghindari atau meminimalkan kerugian dengan menerapkan prioritas metode double crossover paling efektif yang digunakan sebagai analisis teknis dalam perdagangan valuta asing berdasarkan hasil tes. Pengambilan keputusan dalam perdagangan valuta asing sebelumnya hanya mengacu pada penggunakan garis tunggal Moving average yang memiliki kelemahan. Studi ini mencoba untuk menjelaskan metode double crossover, yaitu metode yang memanfaatkan dua garis moving average untuk menghasilkan sinyal perdagangan secara efektif dan akurat dalam pengambilan keputusan dan meminimalkan kerugian. Kata Kunci— Valuta Asing (F31), Harga Saham (G13), Perkiraan dan Simulasi Perdagangan (F17), Investasi (E22)

scholarly journals ANALISIS TEKNIKAL DENGAN MENGGUNAKAN MOVING AVERAGE CONVERGENCE-DIVERGENCE DAN RELATIVE STRENGTH INDEX PADA SAHAM PERBANKAN

2021 ◽  
Vol 11 (1) ◽  
pp. 51-65
Author(s):  
Suryanto Suryanto
Keyword(s):  
Moving Average ◽  
Descriptive Analysis ◽  
Investment Decisions ◽  
Technical Analysis ◽  
Relative Strength ◽  
Investment Analysis ◽  
Analysis Method ◽  
Strength Index ◽  
Stock Investment ◽  
Before And After

ABSTRACT Stock investment is an investment that has a high risk. An investor needs to do an investment analysis before deciding to invest. Investment analysis can be carried out using both fundamental and technical approaches. Technical analysis is often an option because it is fast and easy to apply. This study aims to examine the level of differences in the use of technical analysis with the moving average convergence-divergence (MACD) method and the relative strength index (RSI) as a means of making stock investment decisions. The research method used in this research is the descriptive analysis method. This research was conducted on a group of banking stocks that are included in LQ45. The results showed that there was no difference between the price of the buy signal and the sell signal before and after using the MACD and RSI methods. The results also show that there is no difference between the buy signal and the sell signal between MACD and RSI. Therefore, it can be stated that for the same object and period, the MACD and RSI methods produce the same investment decisions (buy signal and sell signal). Keywords: technical analysis, MACD, RSI, buy signal, sell signal   ABSTRAK Investasi saham merupakanjenis investasi yang memiliki resiko tinggi. Seorang investor perlu melakukan analisis investasi sebelum memutuskan untuk berinvestasi. Analisis investasi dapat dilakukan dengan menggunakan pendekatan fundamental dan teknikal. Analisis teknikal seringkali menjadi pilihan karena cepat dan mudah diterapkan. Penelitian ini bertujuan untuk menguji tingkat perbedaan penggunaan analisa teknikal dengan metode moving average convergence-divergence (MACD) dan relative strength index (RSI) sebagai alat pengambilan keputusan investasi saham. Metode penelitian yang digunakan dalam penelitian ini adalah metode analisis deskriptif. Penelitian ini dilakukan pada sekelompok saham perbankan yang termasuk dalam LQ45. Hasil penelitian menunjukkan bahwa tidak ada perbedaan harga antara sinyal beli dan sinyal jual sebelum dan sesudah menggunakan metode MACD maupun RSI. Hasil penelitian juga menunjukkan bahwa tidak ada perbedaan antara sinyal beli dan sinyal jual antara MACD dan RSI. Dengan demikian dapat dikatakan bahwa untuk objek dan periode yang sama, metode MACD dan RSI menghasilkan keputusan investasi yang sama (sinyal beli dan sinyal jual). Kata kunci: analisa teknikal, MACD, RSI, sinyal beli, sinyal jual

MOMENTUM OSCILLATORS - A TOOL TO PREDICT STOCK PRICE BEHAVIOUR

2016 ◽  
Vol 12 (1) ◽  
Author(s):  
Shishir Kumar Gujrati
Keyword(s):  
Stock Price ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Future Price ◽  
Range Data ◽  
Strength Index ◽  
Price Trends ◽  
Past Data ◽  
Price Movements

Stock markets are always taken as the barometer of the economy. The price movement of their indices reflects every ups and downs of the economy. Although seem to be random, these price movements do follow a certain track which can be identified using appropriate tool over long range data. One such method is of Technical Analysis wherein future price trends are forecasted using past data. Momentum Oscillators are the important tools of technical analysis. The current paper aims to identify the previous price movements of sensex by using Relative Strength Index (RSI) and Moving Average Convergence Divergence (MACD) tools and also aims to check whether these tools are appropriate in forecasting the price trends or not.

THE USE OF HISTORICAL DATA IN ACCOUNTING RESEARCH: THE CASE OF THE AMERICAN SUGAR REFINING COMPANY

1997 ◽  
Vol 24 (2) ◽  
pp. 1-24 ◽  
Author(s):  
Robert Bricker ◽  
Kevin Brown
Keyword(s):  
Capital Market ◽  
Historical Data ◽  
Abnormal Returns ◽  
Deep Understanding ◽  
Historical Record ◽  
Historical Period ◽  
Financial Condition ◽  
A Value ◽  
Time Period ◽  
And Performance

In 1908, the American Sugar Refining Company (ASR) reversed its long-held policy of secrecy as to its financial condition and performance. Prior work, applying contemporary capital market methods to ASR security price data of that period, has suggested a value to ASR shareholders of this policy reversal. This paper examines the historical record of that time and presents additional evidence on this matter, particularly in terms of identifying potentially confounding events occurring during the period under study. The results of this analysis suggest a difficulty in attributing observed abnormal returns to ASR's secrecy policy reversal on the basis of the results obtained from applying capital markets methods. This analysis is useful for scholars interested in applying modern capital market methods to historical data. It highlights the significance of the possible effects of contemporaneous historical events, focuses attention on the importance of a deep understanding of the historical period studied, and suggests a value in combining historical and empirical-markets methods to gain a richer understanding of the events and conditions in the time period under study.

scholarly journals Improving MACD Technical Analysis by Optimizing Parameters and Modifying Trading Rules: Evidence from the Japanese Nikkei 225 Futures Market

2021 ◽  
Vol 14 (1) ◽  
pp. 37
Author(s):  
Byung-Kook Kang
Keyword(s):  
Moving Average ◽  
Public Information ◽  
Technical Analysis ◽  
Weak Form ◽  
Futures Market ◽  
Traditional Model ◽  
Analysis Tool ◽  
Futures Prices ◽  
Improved Performance ◽  
Parameter Values

Much research has examined performance or market efficiency by using the moving average convergence divergence (MACD) technical analysis tool. However, most tests fail to verify efficiency with the traditional parameter settings of 12, 26, and 9 days. This study confirms that applying the traditional model to Japan’s Nikkei 225 futures prices produces negative performance over the period of 2011–2019. Yet, it also finds that the MACD tool can earn significant positive returns when it uses optimized parameter values. This suggests that the Japanese market is not weak-form efficient in the sense that futures prices do not reflect all public information. Hence, the three parameters values of the MACD tool should be optimized for each market and this should take precedence over finding other strategies to reduce false trade signals. This study also tests which models are able to improve profitability by applying additional criteria to avoid false trade signals. From simulations using 19,456 different MACD models, we find that the number of models with improved performance resulting from these strategies is far greater for models with optimized parameter values than for models with non-optimized values. This approach has not been discussed in the existing literature.

Hybrid approach combining EMD, ARIMA and monte carlo for multi-step ahead medical tourism forecasting

2021 ◽  
pp. 1-17
Author(s):  
Nuzhat Fatema ◽  
H Malik ◽  
Mutia Sobihah Binti Abd Halim
Keyword(s):  
Monte Carlo ◽  
Hybrid Model ◽  
Medical Tourism ◽  
Moving Average ◽  
Hybrid Approach ◽  
Mode Decomposition ◽  
Hybrid Forecasting ◽  
Input Variables ◽  
Intelligent Approach

This paper proposed a hybrid intelligent approach based on empirical mode decomposition (EMD), autoregressive integrated moving average (ARIMA) and Monte Carlo simulation (MCS) methods for multi-step ahead medical tourism (MT) forecasting using explanatory input variables based on two decade real-time recorded database. In the proposed hybrid model, these variables are 1st extracted then medical tourism is forecasted to perform the long term as well as the short term goal and planning in the nation. The multi-step ahead medical tourism is forecasted recursively, by utilizing the 1st forecasted value as the input variable to generate the next forecasting value and this procedure is continued till third step ahead forecasted value. The proposed approach firstly tested and validated by using international tourism arrival (ITA) dataset then proposed approach is implemented for forecasting of medical tourism arrival in nation. In order to validate the performance and accuracy of the proposed hybrid model, a comparative analysis is performed by using Monte Carlo method and the results are compared. Obtained results shows that the proposed hybrid forecasting approach for medical tourism has outperformance characteristics.

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