#MOVING AVERAGES TECHNICAL ANALYSIS PDF SERIES#
The predictability of asset returns: an approach combining technical analysis and time series forecasts EHLERS, John, Signal Analysis Concepts.Statistical Evidence on a New Method of Trading the Financial Markets Other evidences of the predictive power of technical analysis: the moving averages rules on European indexes The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates, The Review of Economics and Statistics, Volume 60, Issue 1 (Feb., 1978), 111-120. Abstract: The Efficiency of the Market for Foreign Exchange Under Floating Exchange Rates Simple Technical Trading Rules and the Stochastic Properties of Stock Returns, Journal of Finance, Volume 47, Issue 5 (Dec., 1992), 1731-1764. BROCK, William, Josef LAKONISHOK and Blake LeBARON, 1992.Essays on Exchange Rates: Deterministic Chaos and Technical Analysis: Introduction and Summary of Papers Unsystematic Futures Profits with Technical Trading Rules: A Case for Flexibility
DAMODARAN, Aswath, Charting and Technical Analysis.Taking A Peek Inside The Turtle’s Shell, Queensland Finance (QFC99) Conference Proceedings, Computational Finance Conference, Brisbane, Australia. SATCHELL, A theoretical analysis of trading rules: an application to the moving average case with Markovian returns Optimization of Trading Rules with a Penalty Term for Inceased Risk-Adjusted Performance.(1992) includes a statement that the most popular parameter combinations have S ≤ 5 and L ≥ 50. "A comparison of two moving averages defines one of the rules most frequently mentioned in market literature." "It is found that the most profitable rule is a double moving average with averages computed on one and five days." "Our results provide strong support for profitability of these technical trading rules."įern?a?ndez-Rodr?i?guez, Sosvilla-Rivero and Andrada-F?e?lix (1999) This results are an obvious challenge to the efficient market hypothesis, if the necessity of another challenge should be felt." Then a new algorithm is introduced, and it is shown that statistical confidence limits are in favour of the thesys that such a method is able to make conistent profits on financial markets, specifically on future markets, where commissions are not important. "The concept - well known to practitioners - of moving average is recalled, and the one of adaptive moving average summarized. "Consequently, the paper recommends the use of flexible-parameter trading rules which adapt to changes in market conditions, instead of expecting the market to operate within the specifications of an unalterable set of rules."
"Overall our results provide strong support for the technical strategies that we explored." "We conclude that the evidence favors the efficient market hypothesis, and find that the behavior of one-day rates of return on spot contracts resembles the behavior noted for other speculative prices."