Designing and evaluating the profitability of linear trading system based on the technical analysis and correctional property

Document Type : Research Paper

Authors

1 PhD student of Financial Engineering, Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.

2 Assistant Professor. Department of Management ,Dehaghan Branch, Islamic Azad University, Dehaghan, Iran.

3 management, Industrial Engineering and Management Sciences, shahrood university of technology

10.22034/amfa.2021.1906285.1474

Abstract

Traders in the capital market always seek methods to make full use of available information and combine them to find the best buying and selling strategy. The present study uses a linear hybrid system to combine 106 signals from moving averages oscillators and RSI signals in the technical analysis along with two buy and sell bonds. In addition, the system has correctional property and modifies its parameters over time and according to new information. The result of the research on the Tehran Exchange overall index in the period 1380 to 1397 indicates that the system after the optimal training on training data has an average of daily returns of 0/0025, 0/0048 risk, and a daily Sharp ratio of 0/52, which is better than the individual performance of each signal and market performance in daily average return and sharp ratio criterion.

Keywords


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Volume 7, Issue 1
January 2022
Pages 49-63
  • Receive Date: 07 August 2020
  • Revise Date: 07 April 2021
  • Accept Date: 12 April 2021
  • First Publish Date: 03 May 2021