A research on technical analysis

• Main Authors: Lai, Jiawen, He, Zhi, Tang, Nicholas
• Other Authors: Low Buen Sin
• Format: Final Year Project
• Language: English
• Published: 2012
• Subjects: DRNTU::Business::Finance::Equity; DRNTU::Business::Finance::Financial management
• Online Access: http://hdl.handle.net/10356/48326
• Institution: Nanyang Technological University

Investors, analysts, and speculators alike have long searched for investment strategies that will accurately predict future price trends for a secured return. This research examines the effectiveness of Technical Analysis on buy and hold strategies, with a focus on the Ichimoku Kinko Hyo and the MACD indicators due to the popularity and employability among investors. We adopt an empirical approach for our study, gathering and analysing the trends on past market data of STI and SPDR STI ETF(particularly price and volume) to come to our findings. Tests are conducted using hypothesis testing on daily price movements upon holding a position, with adjustments for practical trading constraints such as look‐forward bias and untradeability of index. Further comparisons were made between Total Returns and Average Annual Returns between indicators and a buy‐and‐hold approach. Evidence was found on the predictive ability of Tenkan‐Kijun, Chikou‐Price, and MACDZero signals over the full sample on the STI, although results were inconsistent across sub‐periods and upon assessment of returns on the ETF.