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Examination and Adjustment On Granville’s Trading Rules
Technical trading rules
|Issue Date: ||2019-04-01 14:35:22 (UTC+8)|
|Abstract: ||As Pring (2002) said, the essence of technical analysis is to identify a trend reversal at a relatively early stage and ride on that trend. Motivated by the interest in the art of technical analysis, this thesis intends to find somehow to beat the market whether the market is a Bull market or a Bear market. The technical analysis I applied in this paper is Joseph Granville Rules (Granville Rules). The Granville Rules are derived from simple calculations between the price and the moving average. This thesis investigates the profitability of the Granville Rules. And in the pursuit of better profitability, I add some restrictions under the spirit of the original rules. The dataset comes at the daily frequency and consists of the closing price and opening price on three stock indexes: Taiwan Capitalization Weighted Stock Index (TAIEX), Dow Jones Industrial Average Stock Index (DJI) and Shanghai Securities Composite Stock Index (SSE). The empirical test shows that the Granville Rules are increasingly profitable and rewards investors with notable returns in the stock markets.|
|Reference: ||Cheol-Ho Park and Scott H. Irwin (2004) “Profitability of Technical Analysis: A Review” AgMAS Project Research Report 2004-04|
Fama, E. F. (1997) “Market Efficiency, Long-Term Returns, and Behavioral Finance.” Journal of Financial Economics, 49(1998):283-306.
Gerwin A. W. Griffioen (2004) “Technical Analysis in Financial Markets” New York Institute of Finance, 2004
Huadong (Henry) Pang (2009) “A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing” Working paper
Pring M. J. “Technical Analysis Explained” New York, NY: McGraw-Hill, 2002.
Samuelson, P. (1965) “Proof that Properly Anticipated Prices Fluctuate Randomly” Industrial Management Review 6, 41-49
Sheng-You Huang, Wang Zong Min (2016) “The Timepipe” Unpublished
Valeriy Zakamulin (2015) “Market Timing with a Robust Moving Average” Working paper
William Wai Him Tsang, Terence Tai Leung Chong (2009) “Profitability of the On-Balance Volume Indicator” Economics Bulletin Volume 29 Issue 3
|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0105351036|
|Data Type: ||thesis|
|Appears in Collections:||[國際經營與貿易學系 ] 學位論文|
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