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An econometric investigation of technical analysis as a portfolio selection strategy in Australia

Title
An econometric investigation of technical analysis as a portfolio selection strategy in Australia
Funding
ARC | Linkage Projects
Contract (GA) number
LP0561082
Start Date
2005/01/01
End Date
2005/12/31
Open Access mandate
no
Organizations
-
More information
http://purl.org/au-research/grants/arc/LP0561082

 

  • Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy

    One of the main diffculties in evaluating the profits obtained using technical analysis is that trading rules are often specifed rather vaguely by practitioners and depend upon the judicious choice of rule parameters. In this paper, popular moving-average (or cross-over) rules are applied to a cross-section of Australian stocks and the signals from the rules are used to form portfolios. The performance of the trading rules across the full range of possible parameter values is evaluated by mea...
  • No project research data found
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