Investment Strategy Optimization Using Technical Analysis and Predictive Modeling in Emerging Markets

Stanković, Jelena; Marković, Ivana; Stojanović, Miloš B.

doi:10.1016/s2212-5671(15)00007-6

Cited by 37 publications

(26 citation statements)

References 22 publications

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“…Consequently, with the data, we can say that a strategy based on MACD parameters optimization bring simillar results. Our results also show that the MACD indicator is an acceptable indicator of trend movements, which was also confirmed by Stanković, Marković, Stojanović (2015). There were four indicators selected for testing, which are frequently used by the investing public (see Baetje, Menkhoff (2016), Reilly (1989), Murphy (1999), Fernández-Blanco, et al (2008) or Gencay (1998)).…”

Section: Discussionsupporting

confidence: 75%

Optimized Indicators of Technical Analysis on the New York Stock Exchange

Širůček

Sima

2017

Acta Univ. Agric. Silvic. Mendelianae Brun.

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The article is focused on the use of technical analysis and it’s indicators. The main aim is the evaluation of technical analysis for selected index instruments which are traded on NYSE. The secondary objective is the optimization of indicator’s parameters of technical analysis and subsequent comparison of profitability of business strategies based on these optimized parameters. The empirical analysis includes the backtesting of optimized indicators and comparison with the default settings of these indicators. The optimization and backtesting were performed on cyclical stocks, represented by stock index S&P 500 Financial from 11/1/2014 to 10/31/2015.

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Section: Discussionsupporting

confidence: 75%

Optimized Indicators of Technical Analysis on the New York Stock Exchange

Širůček

Sima

2017

Acta Univ. Agric. Silvic. Mendelianae Brun.

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“…This paper investigated the efficiency and profitability of applying technical analysis to the stock markets of BRICS member countries. We analyzed whether investors could obtain above-average returns, as suggested by the recent research of Stanković et al (2015) and others. For this research, we assembled a comprehensive portfolio of stocks from the BRICS countries that contained all the assets traded in the markets of each BRICS member.…”

Section: Resultsmentioning

confidence: 99%

“…The objective is to enhance the return of an investment portfolio by understanding the interaction of price indicators for the portfolio's holdings over an identified time period. According to Stanković et al (2015), TA is a way of detecting trends in asset prices based on the premise that the price series moves according to investors' perceived standards. Their study demonstrated that the duration of these standards is sufficient for the investor to make above-average profits, even if the investments incur transaction costs.…”

Section: Introductionmentioning

confidence: 99%

Examination of the profitability of technical analysis based on moving average strategies in BRICS

et al. 2018

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In this paper, we investigated the profitability of technical analysis as applied to the stock markets of the BRICS member nations. In addition, we searched for evidence that technical analysis and fundamental analysis can complement each other in these markets. To implement this research, we created a comprehensive portfolio containing the assets traded in the markets of each BRICS member. We developed an automated trading system that simulated transactions in this portfolio using technical analysis techniques. Our assessment updated the findings of previous research by including more recent data and adding South Africa, the latest member included in BRICS. Our results showed that the returns obtained by the automated system, on average, exceeded the value invested. There were groups of assets from each country that performed well above the portfolio average, surpassing the returns obtained using a buy and hold strategy. The returns from the sample portfolio were very strong in Russia and India. We also found that technical analysis can help fundamental analysis identify the most dynamic companies in the stock market.

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“…The authors state that the method achieves high hit ratios. In [25], least square SVM is employed to examine the usefulness of TA and its prediction power for identifying trend movements in small emerging Southeast European markets. The results show that specific TIs are not consistent in different time periods but prove that TA has a certain level of prediction power.…”

Section: Related Workmentioning

confidence: 99%

Forecasting price movements using technical indicators: Investigating the impact of varying input window length

et al. 2017

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-The creation of a predictive system that correctly forecasts future changes of a stock price is crucial for investment management and algorithmic trading. The use of technical analysis for financial forecasting has been successfully employed by many researchers. Input window length is a time frame parameter required to be set when calculating many technical indicators. This study explores how the performance of the predictive system depends on a combination of a forecast horizon and an input window length for forecasting variable horizons. Technical indicators are used as input features for machine learning algorithms to forecast future directions of stock price movements. The dataset consists of ten years daily price time series for fifty stocks. The highest prediction performance is observed when the input window length is approximately equal to the forecast horizon. This novel pattern is studied using multiple performance metrics: prediction accuracy, winning rate, return per trade and Sharpe ratio.

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Investment Strategy Optimization Using Technical Analysis and Predictive Modeling in Emerging Markets

Cited by 37 publications

References 22 publications

Optimized Indicators of Technical Analysis on the New York Stock Exchange

Optimized Indicators of Technical Analysis on the New York Stock Exchange

Examination of the profitability of technical analysis based on moving average strategies in BRICS

Forecasting price movements using technical indicators: Investigating the impact of varying input window length

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