کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085371 | 1477951 | 2008 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market](/preview/png/5085371.png)
چکیده انگلیسی
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 S&P 500 futures contracts traded between 1990 and 1998. To assess the robustness of reported profits, a bootstrapping adjustment was conducted to determine the forecasting power of the PF trading rules. The results producing mixed statistical significance with some rules proving significant while many others were not.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 198-217
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 198-217
نویسندگان
John A. Anderson, Robert W. Faff,