This paper analyzes the behavior of moving average technical trading rules applied to over 100 years of the Dow Jones Industrial Index. It is found that the differences between conditional means during buy and sell periods has changed dramatically over the previous 10 years relative to the previous 90 years of data, but differences in conditional variances have not changed much over the entire ...

Technical analysis is one of the financial market analysis tools. Technical analysis is a method of anticipating prices and markets through studying historical market data. Based on the factors studied in this type of analysis, indicators are designed and presented to facilitate decision-making on buy and sell stress and then buy and sell action in financial markets. This research evaluates per...

Chart patterns and indicators are popular technical tools for making investment decisions. This article presents a trading strategy combining price movement patterns, candlestick chart patterns, and trading indicators, including Moving Average, Exponential Moving Average, Bollinger Bands, On Balance Volume, Relative Strength Index, Moving Average Convergence Divergence, and Stochastic Oscillato...

AbstTactFinancial markets data is very noise and non-stationary which makes modeling through machine learning from historical information a challenging problem. Our experience indicates that in markets modeling through neural network learning, significant data preprocessing is needed. We have recently proposed a promising multi-component prediction system for the S&P 500 index which yields a hi...

........................................................................................................................ 2

Much research has examined performance or market efficiency by using the moving average convergence divergence (MACD) technical analysis tool. However, most tests fail to verify with traditional parameter settings of 12, 26, and 9 days. This study confirms that applying model Japan’s Nikkei 225 futures prices produces negative over period 2011–2019. Yet, it also finds MACD tool can earn signifi...

Financial market plays an important role in economy. Although funds developed only a few years in China, it has been a focal point in research and practice. The conventional methods analyzing fund data are fundamental analysis and technical analysis. Data mining can extract implicit, previously unknown and potentially useful knowledge from data. This paper presents the new technique to analyze ...

Trading-rule representation is an important factor to consider when designing a quantitative trading system. This study implements a trading strategy as a rule-based policy. The result is an intuitive human-readable format which allows for seamless integration of domain knowledge. The components of a policy are specified and represented as a set of rewrite rules in a context-free grammar. These...

In this paper we continue exploring a recently introduced financial market model in which boundedly rational agents follow technical and fundamental trading rules to determine their orders. Amongst other things, our model reveals that interactions between heterogeneous speculators can generate interesting boom-bust cycles. In addition, we provide an extensive analytical treatment of the model’s...