The Best Trading System to Generate Profits

This research attempts to use risk adjusted performance measure sucha as Jensen and Sharpe to evaluate the profitability of technical trading systems in the Malaysian stock market. We tested 13 techical trading systems such 1-30 dual simple moving average crossover, 5-20 dual simple moving average c...

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Main Authors:	F. K., H., Noor Azlinna, Azizan
Format:	Conference or Workshop Item
Language:	English
Published:	2011
Subjects:	TA Engineering (General). Civil engineering (General)
Online Access:	http://umpir.ump.edu.my/id/eprint/4214/ http://umpir.ump.edu.my/id/eprint/4214/1/the_best_trading.pdf

id	ump-4214
recordtype	eprints
spelling	ump-42142018-05-02T03:25:32Z http://umpir.ump.edu.my/id/eprint/4214/ The Best Trading System to Generate Profits F. K., H. Noor Azlinna, Azizan TA Engineering (General). Civil engineering (General) This research attempts to use risk adjusted performance measure sucha as Jensen and Sharpe to evaluate the profitability of technical trading systems in the Malaysian stock market. We tested 13 techical trading systems such 1-30 dual simple moving average crossover, 5-20 dual simple moving average crossover, 3-7 exponental moving average crossover, relative strength index (RSI), momentum, stochastic, moving average converge divergence (MACD), five Channel Breakout Systems (CBO 20-20, CBO 20-5, CBO 10-5 and CBO 15-5) and the directional movement index (DMI). The finding reveal that 8 out of 13 trading systems produced significally positive gross returns when 0.44 percent transaction cost is applied. This finding confirms that technical analysis not only produce investment returns but also can be used as risk management as its ability to reduce risk and also confirm the random walk hypothesis for the market tested. 2011-09-26 Conference or Workshop Item PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/4214/1/the_best_trading.pdf F. K., H. and Noor Azlinna, Azizan (2011) The Best Trading System to Generate Profits. In: The International Conference on Financial Engineering and Risk Management Application 2011, 26-27 Spetember 2011 , Bandung Institute of Technology, Bandung, Indonesia. pp. 1-6.. (Unpublished)
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Malaysia Pahang
building	UMP Institutional Repository
collection	Online Access
language	English
topic	TA Engineering (General). Civil engineering (General)
spellingShingle	TA Engineering (General). Civil engineering (General) F. K., H. Noor Azlinna, Azizan The Best Trading System to Generate Profits
description	This research attempts to use risk adjusted performance measure sucha as Jensen and Sharpe to evaluate the profitability of technical trading systems in the Malaysian stock market. We tested 13 techical trading systems such 1-30 dual simple moving average crossover, 5-20 dual simple moving average crossover, 3-7 exponental moving average crossover, relative strength index (RSI), momentum, stochastic, moving average converge divergence (MACD), five Channel Breakout Systems (CBO 20-20, CBO 20-5, CBO 10-5 and CBO 15-5) and the directional movement index (DMI). The finding reveal that 8 out of 13 trading systems produced significally positive gross returns when 0.44 percent transaction cost is applied. This finding confirms that technical analysis not only produce investment returns but also can be used as risk management as its ability to reduce risk and also confirm the random walk hypothesis for the market tested.
format	Conference or Workshop Item
author	F. K., H. Noor Azlinna, Azizan
author_facet	F. K., H. Noor Azlinna, Azizan
author_sort	F. K., H.
title	The Best Trading System to Generate Profits
title_short	The Best Trading System to Generate Profits
title_full	The Best Trading System to Generate Profits
title_fullStr	The Best Trading System to Generate Profits
title_full_unstemmed	The Best Trading System to Generate Profits
title_sort	best trading system to generate profits
publishDate	2011
url	http://umpir.ump.edu.my/id/eprint/4214/ http://umpir.ump.edu.my/id/eprint/4214/1/the_best_trading.pdf
first_indexed	2023-09-18T21:58:40Z
last_indexed	2023-09-18T21:58:40Z
_version_	1777414250616061952

The Best Trading System to Generate Profits

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