Revisiting the Performance of MACD and RSI Oscillators
Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found...
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| 主要な著者: | , , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Journal Risk Financial Management
2014
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| 主題: | |
| オンライン･アクセス: | http://ir.unimas.my/id/eprint/1560/1/Revisiting.pdf http://ir.unimas.my/id/eprint/1560/ http://www.mdpi.com/journal/jrfm |
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| 要約: | Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found that the MACD(12,26,0) and RSI(21,50) rules consistently generate significant abnormal returns in the Milan Comit General and the S&P/TSX Composite Index. In addition, the RSI(14,30/70) rule is also profitable in the Dow Jones Industrials Index. The results shed some light on investors’ belief in these two technical indicators in different developed markets. |
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