Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?
AbstractThis 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 InfoIf 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.
Bibliographic InfoPaper provided by International Center for Financial Asset Management and Engineering in its series FAME Research Paper Series with number rp2.
Date of creation: Jan 1999
Date of revision:
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
Moving average; investment strategy; technical analysis; bootstrap;
Other versions of this item:
- Isakov, D. & Hollistein, M., 1998. "Application of Simple Technical Trading Rules to Swiss Stock Prices: Is It Profitable?," Papers 98.2, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G19 - Financial Economics - - General Financial Markets - - - Other
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Michael McAleer & John Suen & Wing Keung Wong, 2013.
"Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis,"
Tinbergen Institute Discussion Papers
13-077/III, Tinbergen Institute.
- 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.
- Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," Working Papers in Economics 13/20, University of Canterbury, Department of Economics and Finance.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marilyn Barja).
If references are entirely missing, you can add them using this form.