Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 马家俊教授 (金融学系) |
| 潘昊先生 (计算机科学与工程学系) |
| 陈汉夫教授 (数学系) |
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| 没有全文档案提供 |
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摘要The paper proposes an application of Empirical Mode Decomposition in technical analysis. The EMD-candlestick
is designed to replace the traditional candlestick as the signal generators in technical trading strategies to improve
the profitability. We investigate a representative set of technical trading strategies, including moving average,
trading range break-out, relative strength index, and intraday and interday trading rules, using the securities
included in Dow Jones Industrial Average from 1993 to 2012. Empirical results show that variable length moving
average rules, relative strength index rules, and intraday and interday trading rules are more profitable if EMDcandlestick
is used than if the traditional candlestick is used.
着者Raymond H. Chan, Alfred Ka Chun Ma, Hao Pan
期刊名称Journal of Technical Analysis
出版年份2016
期次69
出版社Market Technicians Association
出版地United Kingdom
页次21 - 38
语言英式英语
