{"title":"关于技术交易规则回报的进一步证据：来自14种货币的见解","authors":"Everton Dockery, Ivan Todorov","doi":"10.1016/j.mulfin.2023.100808","DOIUrl":null,"url":null,"abstract":"<div><p>This work studies the returns to technical trading rules utilising a sample of 14 currency pairs by applying five trading rules: Filter rules, Trading Range Breakout, Moving Average, and Bollinger bands over varying market conditions. The mixed results indicate that technical analysis based on the applied trading rules is appropriate for the trading strategies examined. The one per cent filter, 150-day MA rule and the Bollinger bands trading rule surpassed the other applied techniques in general performance. What is also clear is that these trading rules are rewarding over varying market conditions. Results from various subperiods, representing normal and stressful market conditions, generally confirm our main findings and show the added value of the trading range breakout rule, which delivers performance in strongly trending markets. Evidence from bootstrap analysis demonstrates the predictive ability of the Moving Average and Bollinger band trading rules.</p></div>","PeriodicalId":47268,"journal":{"name":"Journal of Multinational Financial Management","volume":null,"pages":null},"PeriodicalIF":2.9000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Further evidence on the returns to technical trading rules: Insights from fourteen currencies\",\"authors\":\"Everton Dockery, Ivan Todorov\",\"doi\":\"10.1016/j.mulfin.2023.100808\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This work studies the returns to technical trading rules utilising a sample of 14 currency pairs by applying five trading rules: Filter rules, Trading Range Breakout, Moving Average, and Bollinger bands over varying market conditions. The mixed results indicate that technical analysis based on the applied trading rules is appropriate for the trading strategies examined. The one per cent filter, 150-day MA rule and the Bollinger bands trading rule surpassed the other applied techniques in general performance. What is also clear is that these trading rules are rewarding over varying market conditions. Results from various subperiods, representing normal and stressful market conditions, generally confirm our main findings and show the added value of the trading range breakout rule, which delivers performance in strongly trending markets. Evidence from bootstrap analysis demonstrates the predictive ability of the Moving Average and Bollinger band trading rules.</p></div>\",\"PeriodicalId\":47268,\"journal\":{\"name\":\"Journal of Multinational Financial Management\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2023-09-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Multinational Financial Management\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1042444X23000270\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multinational Financial Management","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042444X23000270","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Further evidence on the returns to technical trading rules: Insights from fourteen currencies
This work studies the returns to technical trading rules utilising a sample of 14 currency pairs by applying five trading rules: Filter rules, Trading Range Breakout, Moving Average, and Bollinger bands over varying market conditions. The mixed results indicate that technical analysis based on the applied trading rules is appropriate for the trading strategies examined. The one per cent filter, 150-day MA rule and the Bollinger bands trading rule surpassed the other applied techniques in general performance. What is also clear is that these trading rules are rewarding over varying market conditions. Results from various subperiods, representing normal and stressful market conditions, generally confirm our main findings and show the added value of the trading range breakout rule, which delivers performance in strongly trending markets. Evidence from bootstrap analysis demonstrates the predictive ability of the Moving Average and Bollinger band trading rules.
期刊介绍：
International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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