A study of trading strategies : average true range.

• Main Authors: Lim, Si Ying., Soh, Zi Kai., Zhou, Xiang.
• Other Authors: Low Buen Sin
• Format: Final Year Project
• Language: English
• Published: 2012
• Subjects: DRNTU::Business::Finance::Financial management
• Online Access: http://hdl.handle.net/10356/48378
• Institution: Nanyang Technological University

This research aims to examine the profitability of a trading strategy that utilizes Average True Range (ATR) as a technical indicator. Our strategy is adapted from the model used by Wilcox & Crittenden [2005] and trading is simulated using 104 stocks for two sampling periods, from 2002 to 2006, and from 2007 to 2011. Our results showed that our strategy produced significantly higher returns than the buy-and-hold strategy in the period from 2007 to 2011, but did not produce significantly different returns in the period lasting from 2002 to 2006. As compared to a buy-and-hold strategy, our proposed model may help to reduce losses to a trader when the market is experiencing a downturn, but performs sub-optimally during bullish conditions