Does Data Frequency Matter for Trading Signals Emitted by Various Technical Trading Rules?
學年 107
學期 2
出版（發表）日期 2019-04-01
作品名稱 Does Data Frequency Matter for Trading Signals Emitted by Various Technical Trading Rules?
作品名稱（其他語言）
著者 Ni, Yensen;Day, Min-Yuh;Huang, Paoyu
單位
出版者
著錄名稱、卷期、頁數 Pacific Business Review International 11(10), p.7-17
摘要 Apart from the moving average (MA) trading rule that is widely applied by market participants, technical analysis indicators, such as relative strength indicator (RSI) and stochastic oscillator indicator (SOI), are used in trading stocks. In this study, we investigate whether data frequency yields different results for trading signals triggered by RSI, SOI, and MA. We reveal that the use of weekly data rather than daily data improves performance regardless of the utilized RSI, SOI, and MA technical trading rules. This result indicates that data frequency is important for technical analysis. The use of long positions is preferred when overshooting signals triggered by RSI and SOI and trading signals, including golden and death crosses based on MA.
關鍵字 Data Frequency;Overreaction;Investment Strategies;Technical Analysis;Trading Signals
語言 en
ISSN 0974-438X
期刊性質 國外
收錄於 ESCI
產學合作
通訊作者
審稿制度 是
國別 IND
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117055 )