Profitability of Technical Analysis: Combining Oscillators With Moving Average Rules

Subject Areas : Financial engineering

Saeed Fathi ¹ , Nahid Parvizi ²

1 - دانشیار مدیریت مالی، گروه مدیریت دانشگاه اصفهان
2 - کارشناس ارشد MBA دانشگاه اصفهان

Received: 2016-02-05 Accepted : 2016-04-16 Published : 2016-09-22

Keywords: Efficiency, Technical Analysis Stock Exchange, Trading Strategies, moving averages, Oscillators,

Abstract :

Investing in the stock market involves analyzing stocks and timing of purchase and sale. For this purpose, different methods and points of view, such as fundamental analysis and technical analysis can be performed. Many studies have investigated the profitability of technical analysis in the capital market and used various trading strategies. The purpose of this paper is to investigate the potential gains from technical analysis through combining oscillators and moving averages in terms of 6 analytical strategies. Investigating the profitability of technical analysis with use analytical strategy not has been done in country and abroad. For this purpose, in terms of 6 buy and sell strategies, the shares of10 stock petrochemical company that accepted in Tehran Stock Exchange is analyzed. The period of investigation has been 2010 to2013. Findings showed that the majority of all strategies that suggested buying signals, has created a return over the risk-free return. In all strategies, while also buying signals being profitable, holding stock for each of these intervals does not make a significant difference in the rate of annual return.In the first strategy, was observed difference in Returns in time periods. Also, with compare the annual return on all timescales strategy, third strategy have been more efficiently than other strategies.