The examination of technical trading rules, time - series trading rules and combined technical and time - series trading rules, using DAX, CAC40, FTSE100, NASDAQ and S&P500

• Main Author: Σκέντζου, Δέσποινα
• Other Authors: Συριόπουλος, Κώστας
• Format: Thesis
• Language: English
• Published: 2015
• Subjects: Trading rules; Technical analysis; AR-GARCH models; Predictability; Combining forecasts; Στρατηγική διακράτησης; Πρόγνωση; 332.64

This thesis investigates the predictability of trading strategies in the European and American stock market from 2001 to 2013. More specific, we examine the indices CAC40, DAX, FTSE100, NASDAQ and S&P500 first with the simple moving averages, then with trading rules based on the forecasts of time – series models and finally with the combination of the technical trading rules and time –series models. The significance of the examined trading rules tested with standard t – tests. The standard tests results show that technical trading rules are the most profitable strategy, second follows the combined and then the time – series rules as the least profitable trading strategy related to buy – and – hold strategy.