Profitability of alternative methods of combining the signals from technical trading systems

Past efforts determining the profitability of technical analysis reached varied conclusions. We test the profitability of a composite prediction that uses buy and sell signals from technical indicators as inputs. Both machine learning methods, like neural networks, and statistical methods, like logistic regression, are used to get predictions. Inputs are signals from trend‐following and mean‐reversal technical indicators in addition to the variance of prices. Four representative commodities from agricultural, livestock, financial, and foreign exchange futures markets are selected to determine profitability. Special care is taken to avoid data snooping error. Both neural networks and statistical methods did not show consistent profitability.     

The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market

This study analyzes the effectiveness of using certain moving average rules in the most important emerging market of Latin America: Brazil. Using different MSCI indices, we find that the best performance is provided by the MSCI Brazil Small Cap Index, which tracks the small cap segment of the Brazilian stock market, as opposed to the MSCI Brazil Index which measures the performance of large and medium firms and has been the main reference for the Brazilian stock market in previous empirical evidence. Additionally, we report clear evidence of the existence of a size effect in the Brazilian stock market due to the superior performance of the index which tracks the smaller companies over those which track larger companies. These results restate the importance of in-depth knowledge of stock market patterns in order to develop correct trading strategies in each case.     

On the Existence of Visual Technical Patterns in the UK Stock Market

The aim in this paper is to replicate and extend the analysis of visual technical patterns by Lo et al. (2000) using data on the UK market. A non‐parametric smoother is used to model a nonlinear trend in stock price series. Technical patterns, such as the 'head‐and‐shoulders' pattern, that are characterised by a sequence of turning points are identified in the smoothed data. Statistical tests are used to determine whether returns conditioned on the technical patterns are different from random returns and, in an extension to the analysis of Lo et al. (2000), whether they can outperform a market benchmark return. For the stocks in the FTSE 100 and FTSE 250 indices over the period 1986 to 2001, we find that technical patterns occur with different frequencies to each other and in different relativities to the frequencies found in the US market. Our extended statistical testing indicates that UK stock returns are less influenced by technical patterns than was the case for US stock returns.     

Performance of technical trading rules: evidence from the crude oil market

ABSTRACT

This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan, Timmermann, and White (1999. “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap.” The Journal of Finance 54 (5): 1647–1691. doi:10.1111/0022-1082.00163), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano, J. P., and M. Wolf. (2007. “Control of Generalized Error Rates in Multiple Testing.” The Annals of Statistics 35 (4): 1378–1408. doi:10.1214/009053606000001622) and Bajgrowicz, P., and O. Scaillet. (2012. “Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs.” Journal of Financial Economics 106 (3): 473–491. doi:10.1016/j.jfineco.2012.06.001) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.     

Technical Trading Rules in Emerging Markets and the 1997 Asian Currency Crises

The ability of simple technical trading rules to forecast future stock market movements is considered for seventeen emerging markets, sampled from January 1986 to September 2003. Some of the trading rules considered generated significant returns; this information could be exploited profitably on occasion. Market conditions and trading volume are found to be important to determining the usefulness of technical trading rules.     

Profitability of Nonlinear Dynamics Under Technical Trading Rules: Evidence from Pacific Basin Stock Markets

This paper explores a possible link between an asymmetric dynamic process of stock returns and profitable technical trading rules. Using Pacific Basin stock market indexes, we show that the dynamic process of daily index returns is better characterized by nonlinearity arising from an asymmetric reverting property, and that the asymmetric reverting property of stock returns is exploitable in generating profitable buy and sell signals for technical trading rules. We show that the positive (negative) returns from buy (sell) signals are a consequence of trading rules that exploit the asymmetric dynamics of stock returns that revolve around positive (negative) unconditional mean returns under prior positive (negative) return patterns. Our results corroborate the arguments for the usefulness of technical analysis.     

外商直接投资的产业技术溢出效应对比研究——基于35个产业面板数据的实证分析

结合中国的产业特性,使用1999～2010年35个产业的面板数据,在采用两种度量指标衡量外商直接投资(FDI)的不同溢出途径的基础上,考量外商直接投资对内资企业的横向溢出效应与后向链接效应,并且检验了产业间的异质性。结论表明,我国的外商直接投资存在着显著为正的后向溢出效应,也存在一定程度的横向溢出效应,外资企业的人员流出能显著促进同一产业内内资企业的生产效率提高;劳动密集型产业与资本技术密集型产业的横向溢出效应与后向链接效应存在一定差异。     

基于DEA-BCC模型的城商行技术效率实证分析（2008-2012）

运用投入导向型的DEA-BCC 模型,对东部沿海10省市36家样本城商行2008-2012年的技术效率进行实证研究。研究表明,近五年来样本城商行总体技术效率保持平稳,并呈较为平坦的“V型”变化趋势,样本城商行的技术效率并没有在规模持续扩张的背景下得到持续有效提升。进一步对技术效率的分解项目进行分析发现,纯技术效率是制约样本城商行总体技术效率提升的主导因素,表明,样本城商行的内部管理能力亟待提升。此外,无论是总技术效率、纯技术效率还是规模效率,都与样本城商行的规模具有显著的相关性,总体而言,大型城商行的技术效率及纯技术效率要优于中小型城商行,但是,中型城商行在规模效率方面略胜一筹,样本城商行存在较为明显的“倒V型”成本曲线。     

Technical Analysis as a Rational Tool of Decision Making for Professional Traders

The psychological background of technical analysis usage is investigated to further explain the popularity and common usage of technical analysis as an investment decision tool. Attitudes toward technical analysis of professional futures market traders and neophyte investors, represented by finance students, were examined. Technical analysis is one of the most popular methods supporting investment decisions and it is much more popular among future market traders than among neophyte investors. The concept of processing information was used to explain this phenomenon. Neophyte investors are more experiential and intuition-driven while using technical analysis models, while futures market traders are more rationally driven. Technical analysis methods help professional traders on futures markets, which are less transparent than regulated stock markets, to process information; those methods are perceived by them as rational, cognitive tools supporting their decision making.     

要素市场化配置视域下数据要素交易平台发展研究

从所在地区、业务模式、数据来源、服务领域和产品特点五个方面,对国内政府参与型数据交易平台、企业主导型数据交易平台进行比较分析.政府参与型数据交易平台更多分布于经济发达地区,第三方数据平台多数为政府参与型数据交易平台,政府特色鲜明;企业主导型数据交易平台的优势领域各异.针对我国数据交易平台存在的定位不清晰、缺乏监管和指导...     

Intraday pairs trading strategies on high frequency data: the case of oil companies

This paper introduces novel ‘doubly mean-reverting’ processes based on conditional modelling of model spreads between pairs of stocks. Intraday trading strategies using high frequency data are proposed based on the model. This model framework and the strategies are designed to capture ‘local’ market inefficiencies that are elusive for traditional pairs trading strategies with daily data. Results from real data back-testing for two periods show remarkable returns, even accounting for transaction costs, with annualized Sharpe ratios of 3.9 and 7.2 over the periods June 2013–April 2015 and 2008, respectively. By choosing the particular sector of oil companies, we also confirm the observation that the commodity price is the main driver of the share prices of commodity-producing companies at times of spikes in the related commodity market.     

Technical Analysis,Investment Psychology,and Liquidity Provision: Evidence from the Taiwan Stock Market

We set out to empirically identify the effects on technical signals attributable to psychological biases, adopting a set of specific liquidity provision proxies for a sample of firms listed on the Taiwan Stock Exchange. The main findings of our empirical analysis are that the "disposition," "information cascade," and "anchoring" effects each have significant impacts on trading signals. Our results should help to shed further light on the asymmetric market responses to technical buy and sell signals, while also providing some potential clarification of the different attitudes of traders toward big-cap and small-cap firms.     

Explaining Intraday Pattern of Trading Volume from the Order Flow Data

Based on a comprehensive order flow data from the Taiwan stock market, this study examines directly how the intraday pattern of trading volume is related to the trading behavior of both informed and uninformed traders. The results indicate that both informed and uninformed investors have a strong desire to place orders at the market open and the close. Most of the orders at the market open are conservative and hence are waiting orders for price priority. The findings show that intraday trading volume as well as the real orders from both types of investors are J-shaped. In addition, both information and liquidity trading can explain the intraday pattern of trading volume. However, the impact of liquidity trading on volume is slightly higher than that of information trading.     

Performance of Moving Average Trading Rules in a Volatile Stock Market: The Russian Evidence

This article examines the profitability of dual moving average crossover (DMAC) trading strategies in the Russian stock market over the 2003–12 period. It contributes to the existing technical analysis (TA) literature by testing, for the first time, the applicability of ordered weighted moving averages (OWMA) as an alternative calculation basis for determining DMACs. In addition, this article provides the first comprehensive performance comparison of DMAC trading rules in the stock market that is known as one of the most volatile markets in the world. The results show that the best trading strategies of the in-sample period can also outperform their benchmark portfolio during the subsequent out-of-sample period. Moreover, the outperformance of the best DMAC strategies is mostly attributable to their superior performance during bearish periods and, particularly, during stock market crashes.     

多选题数据深度分析及其在SPSS中的实现

长期以来对于多选题数据的分析局限于简单的频数分析和列联分析,实际上可以通过数据转换,利用假设检验、多元统计方法以及logistic回归分析的方法进行深度数据挖掘,并且在SPSS软件中轻松实现。     

新时代大数据审计实践研究——以医疗保障基金审计为例

信息技术的快速发展使得国家审计的数据基础和审计方法随之改变。近年来,我国医疗保障改革发展的成就令人瞩目,覆盖城乡居民的医疗保障体系框架基本形成,管理服务体系已完全信息化、数字化。新时代医疗保障审计必须顺应新时代变化步入大数据审计实践。本文基于医疗保障领域审计实践,分析当前医疗保障基金审计面临的大数据环境现状,探究审计分析方式变革、审计方法创新,总结审计专家经验模型,探索关系网络分析方法、数据挖掘方法的审计应用,并从统筹项目组织与实施、加强质量控制、新技术探索、完善大数据审计平台等四个方面提出了进一步深化发展大数据审计的思考建议。     

机构投资者大幅增减仓对股票价格的影响研究--基于2014年中报数据的实证分析

运用事件研究法,选取2014年中报不同类型机构投资者大幅增减仓幅度、股票的超额收益率、同方向操作的机构数量等作为被研究变量,通过Stata12、Excel软件分析机构大幅增减仓在中短期内对股票价格的影响。研究发现,不同机构大幅增减仓对股价的影响有较大差异,机构大幅增仓比大幅减仓对股票的正面影响明显更大,但减仓的股票整体上也存在超额收益率;机构投资者增减仓幅度与股票超额收益率正相关,机构同买同卖的行为存在一定程度的“羊群效应”。因此,国家需进一步鼓励机构投资者的发展,引入更多的QFII,促进保险、券商、信托与基金发行差异化理财产品,机构应当理性投资,挖掘优质股票,避免羊群行为以减少对股票价格的冲击。     

A Panel Data Analysis of the Relationship Between Air Pollutant Emissions,Economics, and Industrial Structure of China

The purpose of this article is to investigate the relationship between China’s industrial structure, economic position, and air quality. The PM2.5 emission is used as the air pollution indicator, the gross regional product (GRP) and the proportion of secondary industry as the local economic indicators, and the power generation and the freight volume as the developmental indicators of important industries. Using the panel data model, this article provided evidence that the GRP has positive effect on the PM2.5 emission and the power generation has a significant impact as well in several cities. But freight volume could not increase the PM2.5 emission significantly in most regions of China.     

Trend definition or holding strategy: What determines the profitability of candlestick charting?

We ask what determines the profitability of candlestick trading strategies. Is it the definition of trend and/or the holding strategy that one uses in candlestick charting analysis? To answer this, we systematically consider three definitions of trend and four holding strategies. Applying candlestick trading strategies to the DJIA component data, we find that regardless of which definition of trend is used, eight three-day reversal patterns with a Caginalp–Laurent holding strategy are profitable when we set the transaction cost at 0.5% and after we account for data-snooping bias, while the patterns with a Marshall–Young–Rose holding strategy are not profitable. For sensitivity analysis, we also find that our results are not qualitatively changed on a lower transaction cost of 0.1%, or when we conduct the subsample analyses based on three equal periods and three distinct market conditions. When considering a more volatile market, evidence in favor of candlestick trading strategies is strengthened.     

我国商业银行的效率现状及生产率变动分析

本文运用数据包络分析方法和Malmquist指数对我国28家三类商业银行2000～2004年的技术效率、纯技术效率和规模效率以及全要素生产率变动进行了测算。结果发现,三类商业性银行的效率存在差异:国有商业银行的规模效率最低,并且呈规模报酬递减;股份制商业银行效率略高于国有商业银行;城市商业银行效率由相对最低转为相对最高。总体上看,银行业全要素生产率呈上升趋势,技术效率呈下降趋势,规模效率无明显变化。本文的主要结论是:规模是影响国有商业银行和股份制商业银行效率差异的主要因素,银行全要素生产率的变动受信息技术发展的推动以及宏观环境的影响。