The existence of DeMark's price exhaustion pattern in the Hang Seng Index is explored. Price exhaustion does occur in the Hang Seng Index, although its incidence is small compared to the total number of price swings recorded in the Hang Seng Index. The full price exhaustion signal (setup plus countdown) is a rare event in the Hang Seng Index. The most important finding is that trading price exhaustion signals lead to profits in excess over buy and hold strategies and this appears to be both of economic as well as statistical significance. Moreover, several other trading filter rules also appear to outperform a buy and hold strategy.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Economics Series with number
2005_13.