Revisiting the Performance of MACD and RSI OscillatorsReport as inadecuate




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1

Hong Kong Institute of Asia-Pacific Studies, Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China

2

Department of International Economics and Trade, Nanjing University, Nanjing, Jiangsu 210093, China

3

Department of Economics, The Chinese University of Hong Kong, Hong Kong, China

4

Faculty of Economics and Business, Universiti Malaysia Sarawak, Sarawak, Malaysia





*

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Abstract 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 MACD12,26,0 and RSI21,50 rules consistently generate significant abnormal returns in the Milan Comit General and the SandP-TSX Composite Index. In addition, the RSI14,30-70 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. View Full-Text

Keywords: relative strength index; trading rules; moving average convergence–divergence relative strength index; trading rules; moving average convergence–divergence





Author: Terence Tai-Leung Chong 1,2,* , Wing-Kam Ng 3 and Venus Khim-Sen Liew 4

Source: http://mdpi.com/



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