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Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?
Dušan Isakov University of Fribourg (Switzerland) - Faculty of Economics and Social Science Marc Hollistein Banque Cantonale de Genève January 1999 Abstract: This paper tests if the use of trading rules based on the crossing of moving averages on Swiss stock prices yields proftable results. The use of bands and oscillators such as the relative strength index or the stochastic indicator is also investigated. These rules are tested on daily returns of the SBC General Index for the period 1969-1997. It is found that the most profitable rule is a double moving average with averages computed on one and five days. With this rule, an annual average return on the SBC Index of 24.30% is obtained compared to a buy-and-hold annual return of 6.25%. Working Paper Series Date posted: May 25, 2006 ; Last revised: May 25, 2006Suggested Citation |
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