Designing Automatic Re-balancing Model Using Technical Analysis Concept of Divergence
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
The classical efficient market hypothesis states that it is not possible to beat the market by developing a strategy based on historical price series. In this paper we propose a profitable automatic trading system based on the divergence definition in relative strength index and using other technical analysis tools which presents empirical evidence confronting the classical efficient market hypothesis. In order to validate the developed solution an extensive evaluation was performed, comparing the designed strategy against the market itself and several other investment methodologies. An intraday database comprised of 59 symbols from NYSE in The time span 2010 to 2016 was employed. The whole sample is categorized over two sub-periods, training and widening its validity. By enjoying Meta-heuristic algorithms the rules in the first sub-period was improved. Then, in the second division the improved model was evaluated. The results indicates that this model improved predictability power and its performance is better than buy and hold and random strategies
Keywords:
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:12 Issue: 41, 2019
Pages:
45 to 56
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