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,...