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Combined signal approach: evidence from the Asian-Pacific equity markets

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  • Camillo Lento

Abstract

This article tests the profitability of the Combined Signal Approach (CSA) (Lento and Gradojevic, 2007) in the Asian-Pacific equity markets. The CSA is based on the premise that the consensus agreement of profitable trading signals should outperform any single signal. The results present further evidence that the CSA improves the profitability of individual trading rules and consistently earns profits in excess of the buy-and-hold trading strategy. The significance of the results is tested through a bootstrap simulation.

Suggested Citation

  • Camillo Lento, 2009. "Combined signal approach: evidence from the Asian-Pacific equity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(7), pages 749-753.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:7:p:749-753
    DOI: 10.1080/17446540802260886
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    References listed on IDEAS

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    1. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
    2. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1765, August.
    3. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. "Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
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