IDEAS home Printed from https://ideas.repec.org/b/wfo/wstudy/23373.html
   My bibliography  Save this book

Technical Trading Systems and Stock Price Dynamics

Author

Listed:
  • Stephan Schulmeister

Abstract

The study analyses the performance and price effects of 2,580 technical trading systems in the US and German stock markets. Technical stock trading is highly profitable when based on 30-minutes data in the stock index futures markets. However, when trading is based on daily data the profitability of technical models declines significantly. When based on 30-minutes data technical stock trading is extremely profitable in sample as well as out of sample. The profitability of technical stock trading is exclusively due to the exploitation of persistent stock price runs. This is reflected by the fact that profitable positions last on average roughly three times longer than unprofitable positions. A strong feed-back mechanism is operating between stock price movements and the transactions triggered off by technical models. Rising stock prices, e.g., cause increasingly more technical models to produce buy signals, which in turn strengthen and lengthen the upward price movement.

Suggested Citation

  • Stephan Schulmeister, 2002. "Technical Trading Systems and Stock Price Dynamics," WIFO Studies, WIFO, number 23373, Juni.
  • Handle: RePEc:wfo:wstudy:23373
    as

    Download full text from publisher

    File URL: https://www.wifo.ac.at/wwa/pubid/23373
    File Function: abstract
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Stephan Schulmeister, 2015. "The struggle over the Financial Transactions Tax. A politico-economic farce," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 15-55.
    2. Stephan Schulmeister, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 190-201, October.
    3. Stephan Schulmeister, 2005. "Components of the Profitability of Technical Currency Trading," WIFO Working Papers 263, WIFO.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wfo:wstudy:23373. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Florian Mayr (email available below). General contact details of provider: https://edirc.repec.org/data/wifooat.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.