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Trend and Momentum Technical Indicators for Investing in Market Indices

Author

Listed:
  • Padilha, Victor Alexandre

    (School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil)

  • Magnani, Vinícius

    (School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil)

  • Gatsios, Rafael Confetti

    (ISG - Business & Economics School, Portugal)

  • Lima, Fabiano Guasti

    (School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil)

  • Antonio, Rafael Moreira

    (Fundação Getúlio Vargas, Escola de Administração de Empresas de São Paulo, Brazil)

Abstract

The purpose of this study is to evaluate the effectiveness of technical analysis indicators in investment strategies. We conducted an empirical study using four trend indicators and four momentum indicators across seven market indices. Our methodology employs a parameter optimization process for each indicator and compares the results with classical parameters reported in the economics literature. Our findings indicate that no technical indicator consistently outperforms the buy-and-hold strategy in the long run. In addition, the optimization procedures did not yield significant improvements in the results. This study contributes to the ongoing debate on the effectiveness of technical analysis indicators in securities trading by adding to the literature on the subject.

Suggested Citation

  • Padilha, Victor Alexandre & Magnani, Vinícius & Gatsios, Rafael Confetti & Lima, Fabiano Guasti & Antonio, Rafael Moreira, 2024. "Trend and Momentum Technical Indicators for Investing in Market Indices," EkBis: Jurnal Ekonomi dan Bisnis, UIN Sunan Kalijaga Yogyakarta, vol. 8(1), pages 74-86, June.
    • Handle: RePEc:ris:ekbisj:2163
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    More about this item

    Keywords

    Technical Analysis; Active Investment; Passive Investment; Sharpe Ratio;
    All these keywords.

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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