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

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE Journal of Multinational Financial Management Pub Date : 2023-09-01 DOI:10.1016/j.mulfin.2023.100808
Everton Dockery, Ivan Todorov
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引用次数: 1

摘要

这项工作利用14种货币对的样本,通过应用五种交易规则来研究技术交易规则的回报率:在不同的市场条件下,过滤规则、交易区间突破、移动平均线和布林带。混合结果表明,基于所应用的交易规则的技术分析适用于所检查的交易策略。1%过滤、150天MA规则和布林带交易规则在总体表现上超过了其他应用技术。同样显而易见的是,这些交易规则在不同的市场条件下是有回报的。代表正常和紧张市场条件的各个子周期的结果通常证实了我们的主要发现,并显示了交易区间突破规则的附加值,该规则在强趋势市场中表现出色。bootstrap分析的证据证明了移动平均线和布林带交易规则的预测能力。
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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.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
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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Does China’s social credit system construction promote foreign bank expansion? Directors appointed by non-state shareholders and stock price synchronicity: Evidence from Chinese SOEs Editorial Board Sectoral responses to economic policy uncertainty and geopolitical risk in the US stock market Do cultural differences affect the share price puzzle?
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