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Efficiency of Use of Technical Analysis: Evidences from Russian Stock Market

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  • Vassiliy Chsherbakov

Abstract

Technical analysis can be determined as a method of evaluating the statistics, historical data (e.g. past price and volume.) to establish "specific rules for buying and selling securities with the objective of maximizing profits and minimizing risk of loss". The historical overview shows that technical analysis takes its roots in 17 century; by now it is one of the most frequently used methods by traders all over the world. This fact is justified by great number of empirical data from Singapore, Istanbul, New York and other stock exchanges. The main concern of this paper is the focus on the creation, tests of trading systems based on the popular trend following indicator, the moving average, and its combinations. The main questions which would be stressed during this research are: 1. What is the efficiency of the trading systems based on the selected elements of technical analysis? 2. Which of them do show the greatest efficiency rate? Testing of trading systems based on moving average indicator (single, dual and triple) shows relatively high results on the Russian Stock Exchange (MICEX). The comparison analysis indicated that relatively the most efficient trade system is dual moving average trade system; triple moving average trade system gets the 2nd place; and single moving average trade system is regarded as relatively inefficient

Suggested Citation

  • Vassiliy Chsherbakov, 2010. "Efficiency of Use of Technical Analysis: Evidences from Russian Stock Market," Ekonomika a Management, Prague University of Economics and Business, vol. 2010(4).
    • Handle: RePEc:prg:jnleam:v:2010:y:2010:i:4:id:117
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    References listed on IDEAS

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    More about this item

    Keywords

    Technical analysis; Trading systems efficiency; Moving average;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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