Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01

46 Pages Posted: 8 May 2001

See all articles by John Anderson

John Anderson

Queensland University of Technology - School of Economics and Finance

Date Written: undated

Abstract

Point and Figure charting is one of the oldest practitioner techniques for analysing price movements in financial markets, yet has received almost no coverage in the academic finance literature. This paper empirically contributes to the existing trading rule literature by providing a methodology for the calculation of Point and Figure charts using ultra-high-frequency data and tests trading rules using eight objective, pre-defined trading rules on US futures contracts. In general it is found that profits were able to be generated during the test period using the Point and Figure methodology.

Keywords: Point and figure, trading rules, ultra-high-frequency data, EMH, technical analysis, futures markets

JEL Classification: C52, C61, C63, G10

Suggested Citation

Anderson, John A., Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market (undated). QUT School of Economics and Finance Discussion Paper No. 01-01. Available at SSRN: https://ssrn.com/abstract=264717 or http://dx.doi.org/10.2139/ssrn.264717

John A. Anderson (Contact Author)

Queensland University of Technology - School of Economics and Finance ( email )

GPO Box 2434
2 George Street
Brisbane, Queensland 4001
Australia
+61 7 3864 4292 (Phone)
+61 7 3864 1500 (Fax)

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