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A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')

Financial markets all over the world generally exist in 2 conditions: trending and ranging. One of the most frustrating issues confronting market technicians daily is the critical definition when market is ranging and when the market is trending. Applying a trending algorithm to a ranging market wil...

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Main Authors: Mohamed, I., Azizan, N.A., Chan, J.P.M.
Format: Article
Language:English
Published: Academic Journals 2011
Subjects:
QA Mathematics
Online Access:http://eprints.um.edu.my/10183/1/A_profitability_study_on_the_Malaysian_futures_markets.pdf
http://eprints.um.edu.my/10183/
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spelling my.um.eprints.101832014-12-16T00:53:05Z http://eprints.um.edu.my/10183/ A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ') Mohamed, I. Azizan, N.A. Chan, J.P.M. QA Mathematics Financial markets all over the world generally exist in 2 conditions: trending and ranging. One of the most frustrating issues confronting market technicians daily is the critical definition when market is ranging and when the market is trending. Applying a trending algorithm to a ranging market will result in whipsaws that yield losses. To avoid some of these false entry signals, this research proposed to vary the moving average and standard deviation parameters to avoid some of these false entry whipsaws and yet capture a new trend early. Adaptive algorithm like the Adjustable Bands Z-Test-Statistics' (ABZ'), seeked to provide a solution to this issue. For the year 2008, ABZ' showed an abnormal return of 316 index points for Malaysian Kuala Lumpur Composite Index Futures (FKLI) compared with a negative return of -562 index points for the passive buy-and-hold strategy and 690 for Malaysian Crude Palm Oil Futures (FCPO) compared with a negative return of -1387. Results from this research interest investors world wide who are trying to overcome this baffling issue of ranging versus trending markets. Academic Journals 2011 Article PeerReviewed application/pdf en http://eprints.um.edu.my/10183/1/A_profitability_study_on_the_Malaysian_futures_markets.pdf Mohamed, I. and Azizan, N.A. and Chan, J.P.M. (2011) A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ'). African Journal of Business Management, 5 (14). pp. 5984-5993. ISSN 1993-8233
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Mohamed, I.
Azizan, N.A.
Chan, J.P.M.
A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
description Financial markets all over the world generally exist in 2 conditions: trending and ranging. One of the most frustrating issues confronting market technicians daily is the critical definition when market is ranging and when the market is trending. Applying a trending algorithm to a ranging market will result in whipsaws that yield losses. To avoid some of these false entry signals, this research proposed to vary the moving average and standard deviation parameters to avoid some of these false entry whipsaws and yet capture a new trend early. Adaptive algorithm like the Adjustable Bands Z-Test-Statistics' (ABZ'), seeked to provide a solution to this issue. For the year 2008, ABZ' showed an abnormal return of 316 index points for Malaysian Kuala Lumpur Composite Index Futures (FKLI) compared with a negative return of -562 index points for the passive buy-and-hold strategy and 690 for Malaysian Crude Palm Oil Futures (FCPO) compared with a negative return of -1387. Results from this research interest investors world wide who are trying to overcome this baffling issue of ranging versus trending markets.
format Article
author Mohamed, I.
Azizan, N.A.
Chan, J.P.M.
author_facet Mohamed, I.
Azizan, N.A.
Chan, J.P.M.
author_sort Mohamed, I.
title A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
title_short A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
title_full A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
title_fullStr A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
title_full_unstemmed A profitability study on the Malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands Z-test-statistics' (ABZ')
title_sort profitability study on the malaysian futures markets using a new adjustable technical analysis indicator, adjustable bands z-test-statistics' (abz')
publisher Academic Journals
publishDate 2011
url http://eprints.um.edu.my/10183/1/A_profitability_study_on_the_Malaysian_futures_markets.pdf
http://eprints.um.edu.my/10183/
_version_ 1643688741273862144
score 13.211869

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