Investigating the Utility of Ichimoku Oscillator-Based Trading Strategies in Tehran Stock Exchange

Subject Areas : Journal of Investment Knowledge

Sayyed Mohammad Reza Davoodi ¹ , Sayyed Asghar Mirniam ² , Marzieh Karami Chamgordani ³

1 - Assistant Professor, Department of Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran (Corresponding Author).
2 - Master of Financial Management, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran .
3 - Master of Science in Management, Amin Instituted Of Higher Education,Isfahan,Iran.

Received: 2017-12-04 Accepted : 2018-02-28 Published : 2019-12-22

Keywords: Technical Analysis, Ichimoku cloud, Moving average, Sharp Ratio,

Abstract :

The technical analysis is one of the methods of market analysis, in which historical stock prices and volumes are used to predict the future direction of price movements.The Ichimucu oscillator is one of the most widely used tools in technical analysis that predicts the strength and speed of the process, the ceilings, and the possible temperatures of the price.In this research, the stock market strategy of the Ichimoku oscilloscope, called a typical, conservative, and bold strategy, will be examined.The three strategies differ in terms of combining Ichimoku components with different points of sale.The result of the research on the total index of Tehran Stock Exchange in yield from 1370 to 1395 according to Sharp's ratio shows that the bold strategy is 0/6747 compared to the market strategy of 152,305 and the other two conservative and ordinary strategies that are 0.3335 and 0/310058 respectively , Is in a higher position and has a higher profitability.In terms of return, only a bold strategy has overcome market efficiencies. On the whole, it can be concluded that among the three strategies, the best result is a bold strategy, with a conservative and conservative strategy ranked next.

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