Application of Simple Technical Trading Rules to Swiss Stock Prices: Is it Profitable?

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%.