Teknisk analys - hokuspokus eller avkastningslokus?
(2019) NEKH02 20191Department of Economics
- Abstract
- Objective: The objective of this study is to examine whether ten stock-trading strategies based on common technical indicators can prove to generate higher risk-adjusted returns than buy-and-hold strategies for the same stocks.
Method: To examine this, trading for the ten strategies is simulated for 213 Swedish stocks, through the years 2006 to 2018. The risk-adjusted returns are calculated as sharpe ratios, and compared through a one-sided significance test. The performance of the strategies is tested for the entire set of stocks as well as for their corresponding lists, Large Cap, Mid Cap and Small Cap.
Results: Two strategies provided sufficiently significant results for the entire set of stocks. For Large Cap, one strategy... (More) - Objective: The objective of this study is to examine whether ten stock-trading strategies based on common technical indicators can prove to generate higher risk-adjusted returns than buy-and-hold strategies for the same stocks.
Method: To examine this, trading for the ten strategies is simulated for 213 Swedish stocks, through the years 2006 to 2018. The risk-adjusted returns are calculated as sharpe ratios, and compared through a one-sided significance test. The performance of the strategies is tested for the entire set of stocks as well as for their corresponding lists, Large Cap, Mid Cap and Small Cap.
Results: Two strategies provided sufficiently significant results for the entire set of stocks. For Large Cap, one strategy provided sufficiently significant results; and the corresponding figures for Mid Cap and Small Cap were four and three respectively.
Conclusions: It seems that technical strategies are able to generate higher risk-adjusted returns than buy-and-hold strategies for the same stocks. Although the field is in need of more research to fully reject the efficient market hypothesis, it seems plausible that one will be able to. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8980622
- author
- Örnberg, Frej LU
- supervisor
-
- Dag Rydorff LU
- organization
- course
- NEKH02 20191
- year
- 2019
- type
- M2 - Bachelor Degree
- subject
- keywords
- Technical analysis, sharpe ratios, stocks, efficient market hypothesis
- language
- Swedish
- id
- 8980622
- date added to LUP
- 2019-08-08 11:30:40
- date last changed
- 2019-08-08 11:30:40
@misc{8980622,
abstract = {{Objective: The objective of this study is to examine whether ten stock-trading strategies based on common technical indicators can prove to generate higher risk-adjusted returns than buy-and-hold strategies for the same stocks.
Method: To examine this, trading for the ten strategies is simulated for 213 Swedish stocks, through the years 2006 to 2018. The risk-adjusted returns are calculated as sharpe ratios, and compared through a one-sided significance test. The performance of the strategies is tested for the entire set of stocks as well as for their corresponding lists, Large Cap, Mid Cap and Small Cap.
Results: Two strategies provided sufficiently significant results for the entire set of stocks. For Large Cap, one strategy provided sufficiently significant results; and the corresponding figures for Mid Cap and Small Cap were four and three respectively.
Conclusions: It seems that technical strategies are able to generate higher risk-adjusted returns than buy-and-hold strategies for the same stocks. Although the field is in need of more research to fully reject the efficient market hypothesis, it seems plausible that one will be able to.}},
author = {{Örnberg, Frej}},
language = {{swe}},
note = {{Student Paper}},
title = {{Teknisk analys - hokuspokus eller avkastningslokus?}},
year = {{2019}},
}