Trading Strategies Based on Trading Systems: Evidence from the Performance of Technical Indicators

Subject Areas : Business Strategy

Sirous Keshavarz ¹ , Majid Vaziri Sereshk ² , Abdolmajid Abdolbaghi ³ , Mohamadhossein Arman ⁴

1 - Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran
2 - Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran
3 - Department of Industrial Engineering, Shahroud University of Technology, Shahroud, Iran
4 - Department of Management, Najafabad Branch, Islamic Azad University, Najafabad, Iran

Received: 2021-08-16 Accepted : 2022-01-13 Published : 2022-03-01

Keywords: Return, technical indicators, performance, Risk, Trading Strategies,

Abstract :

This study examines trading strategies based on trading systems by analyzing the performance of 11 technical indicators. The data used for analysis were financial data of all firms listed on the Teh-ran Stock Exchange in the period from 2010 to 2020. Excluding the firms whose data were not available for the period under study, 135 firms were selected as the research sample. The results showed that the signals containing three indicators of moving average, exponential moving average, and relative strength over a weekly up to six-month period to buy or sell stocks (as a strategy) could be used more confidently compared to other indicators to achieve higher returns and profitability. As a result, investors can use the signals that these three indicators in weekly (EMA) and monthly (MA, RSI) periods and the quarterly (MA) and six-month (RSI, EMA) periods to determine buying and selling strategies with the lowest investment risks. It is also recommended that investors use a combination of these three indicators to invest, and extend their investment period over a longer period of time to bear less risk, and more returns.

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