Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver

23 Pages Posted: 29 Aug 2015

See all articles by Andrew Urquhart

Andrew Urquhart

ICMA Centre, Henley Business School

Jonathan A. Batten

RMIT University

Brian M. Lucey

Trinity Business School, Trinity College Dublin; University of Sydney Business School; Ho Chi Minh City University of Economics and Finance; Jiangxi University of Finance and Economics

Frank McGroarty

University of Southampton - Southampton Business School

Maurice Peat

The University of Sydney; Financial Research Network (FIRN)

Date Written: August 28, 2015

Abstract

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules produce significant payoffs in the gold and silver market using three popular moving average rules. We find that using the standard parameters previously used in the literature, technical trading rules offer are not profitable. However after utilising a universe of parameters, we find a number of parameter combinations offer significant profits in the gold market, but there remains no significant payoff in the silver market. Our results show that parameters that use longer histories are more successful than the traditional parameters chosen in the literature. Intraday technical trading rules can be profitable in the gold market but offer no significant profit in the silver market.

Keywords: Gold, Silver, Technical analysis, Trading, High frequency

JEL Classification: G12

Suggested Citation

Urquhart, Andrew and Batten, Jonathan A. and Lucey, Brian M. and McGroarty, Frank and Peat, Maurice, Does Technical Analysis Beat the Market? – Evidence from High Frequency Trading in Gold and Silver (August 28, 2015). Available at SSRN: https://ssrn.com/abstract=2652637 or http://dx.doi.org/10.2139/ssrn.2652637

Andrew Urquhart

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

Jonathan A. Batten

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Brian M. Lucey (Contact Author)

Trinity Business School, Trinity College Dublin ( email )

The Sutherland Centre, Level 6, Arts Building
Dublin 2
Ireland
+353 1 608 1552 (Phone)
+353 1 679 9503 (Fax)

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Ho Chi Minh City University of Economics and Finance ( email )

59C Nguyen Dình Chieu
6th Ward, District 3
Ho Chi Minh City, Ho Chi Minh 70000
Vietnam

Jiangxi University of Finance and Economics ( email )

South Lushan Road
Nanchang, Jiangxi 330013
China

Frank McGroarty

University of Southampton - Southampton Business School ( email )

Southampton, SO17 1BJ
United Kingdom

Maurice Peat

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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