A number of recent studies on technical analysis using individual measures such as filter rules, moving averages and trading range break-out have provided a measure of support for their usefulness.

Testing the CRISMA trading system: evidence from the UK market: Applied Financial Economics: Vol 9, No 5

The current study tests the multiple-component CRISMA trading system of Pruitt and White Journal of Portfolio Management , 14, in a UK context. The system seeks to identify equity trades and subsequently, call options written on these shares by using jointly the three technical filters of relative strength, cumulative volume and the relationship between day and day moving averages.

Mixellaneous | Gift Boutique & Mini Department Store

The results over the period January to June show that the CRISMA system would have been profitable, generating an annualized profit of However, when adjusted for market movements and risk it was unable to predict significant excess returns. Further, the results were not stable over time and trades on larger companies fared better than small.

When the signals were used to trade options, CRISMA was able to predict high returns mean return of Overall, the results are consistent with weak form efficiency in the UK equity market. Journal Applied Financial Economics Volume 9, - Issue 5. Submit an article Journal homepage. Testing the CRISMA trading system: People also read Article. Lewis Journal of Marketing Management.

Hui Applied Financial Economics. Owain Ap Gwilym et al.

The European Journal of Finance. Thomas Oberlechner Journal of Behavioral Finance.

Ki-Yeol Kwon et al. Browse journals by subject Back to top.

Using technical analysis to test the efficiency of the Shanghai Stock Market

Area Studies Arts Behavioral Sciences Bioscience Built Environment Communication Studies Computer Science Development Studies. Information for Authors Editors Librarians Societies.

Open access Overview Open journals Open Select Cogent OA. Help and info Help FAQs Press releases Contact us Commercial services.

Accept This website uses cookies to ensure you get the best experience on our website.