Advanced Search
MyIDEAS: Login to save this paper or follow this series

Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?

Contents:

Author Info

  • Dušan ISAKOV

    (HEC-Université de Genève)

  • Marc HOLLISTEIN

    (Banque Cantonale de Genève)

Abstract

This paper tests if the use of simple technical trading rules on Swiss stock prices is profitable. It considers several trading rules based on the crossing of moving averages. The use of bands and oscillators such as the relative strength index or the stochastic indicator is also investigated. These rules are tested on daily returns of the Swiss Bank Corporation General Index for the period 1969-1997. It is found that the most profitable rule is a double moving average with averages computed on one and five days. With this rule, an annual average return on the SBC Index of 24.30% is obtained compared to a buy-and-hold annual return of 6.25%. These results are confirmed by bootstrap simulations which consider different return generating processes as the AR(1) model and the GARCH(1,1) model. Similar results are obtained for individual stocks. In the presence of trading costs, these rules are only profitable for a particular kind of investor.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. 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.
File URL: http://www.swissfinanceinstitute.ch/rp2.pdf
Download Restriction: no

Bibliographic Info

Paper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp2.

as in new window
Length:
Date of creation: Jan 1999
Date of revision:
Handle: RePEc:fam:rpseri:rp2

Contact details of provider:
Postal: 40 bd. du Pont d'Arve, Case postale 3, CH - 1211 Geneva 4
Phone: 41 22 / 312 09 61
Fax: 41 22 / 312 10 26
Web page: http://www.swissfinanceinstitute.ch
More information through EDIRC

Related research

Keywords: Moving average; investment strategy; technical analysis; bootstrap;

Other versions of this item:

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," KIER Working Papers 869, Kyoto University, Institute of Economic Research.
  2. Ratner, Mitchell & Leal, Ricardo P. C., 1999. "Tests of technical trading strategies in the emerging equity markets of Latin America and Asia," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1887-1905, December.
  3. Yochanan Shachmurove & Uri BenZion & Paul Klein & Joseph Yagil, 2001. "A Moving Average Comparison of the Tel-Aviv 25 and S&P 500 Stock Indices," Penn CARESS Working Papers 4731f3394c43bebf4d3191c81, Penn Economics Department.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp2. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marilyn Barja).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.