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.
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Publisher Info
Paper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number
98.2.
Length: 17 pages Date of creation: 1998 Date of revision: Handle: RePEc:fth:ehecge:98.2
Contact details of provider: Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse Web page: http://www.hec.unige.ch/ More information through EDIRC
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Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies G19 - Financial Economics - - General Financial Markets - - - Other
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