The Optimized Indicators of Technical Analysis by Anticyclic Assets
The Optimized Indicators of Technical Analysis by Anticyclic Assets

Author(s): Martin Širůček, Karel Šima
Subject(s): Business Economy / Management, Methodology and research technology, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: technical analysis; optimization; relative strength; moving average; Bollinger bands;
Summary/Abstract: The paper is focused on using the technical analysis and its indicators. It deals with the evaluation of investment strategies based on the optimized parameters of technical analysis indicators. The analysis focuses on using selected indicators of the technical analysis in the period from 11/1/2013 to 10/31/2014. The empirical analysis includes a back-test of optimized indicators, the results of which are compared with the recommended setting of these indicators, held in the period from 11/1/2014 to 10/31/2015. The optimization and the back-test were realized on anticyclical stocks, represented by the index S&P 500 Consumer Staples. The main aim of the paper is to bring to the speculators a higher investment return based on the change of the recommended (default) setting of these indicators.

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