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Überrenditen durch Point and Figure-Charts: Zufall oder System?

Author

Listed:
  • Gerth, Hendrik
  • Niermann, Stefan

Abstract

This article examines the question whether a point and figure (P and F)-based investment strategy yields statistical significant excess returns compared to a buy-and-hold (B and H)-strategy. The simulations show that P and F slightly outperforms B and H with respect to returns as well as with respect to the reward-to-variability-ratio. However, a bootstrap experiment shows that this superiority is statistically insignificant and hence not economically exploitable. Additionally, the bootstrapped returns are compatible with the original returns under the assumption of an efficient capital market. Altogether, there seems to be no evidence that the P and F-strategy is superior to the B and H-strategy nor that P and F is capable of detecting patterns in the data that can be exploited economically.

Suggested Citation

  • Gerth, Hendrik & Niermann, Stefan, 2004. "Überrenditen durch Point and Figure-Charts: Zufall oder System?," Hannover Economic Papers (HEP) dp-302, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-302
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-302.pdf
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    References listed on IDEAS

    as
    1. Bromann, O. & Schiereck, D. & Weber, M., 1997. "Reichtum durch (anti-)zyklische Handelsstrategien am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35469, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Neftci, Salih N, 1991. "Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis."," The Journal of Business, University of Chicago Press, vol. 64(4), pages 549-571, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Point and Figure; Überrenditen; Bootstrap.;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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