Tsinaslanidis / Zapranis Technical Analysis for Algorithmic Pattern Recognition

1. Auflage 2016
ISBN: 978-3-319-23636-0
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 213 Seiten

The main purpose of this book is to resolve deficiencies and limitations that currently exist when using Technical Analysis (TA). Particularly, TA is being used either by academics as an 'economic test' of the weak-form Efficient Market Hypothesis (EMH) or by practitioners as a main or supplementary tool for deriving trading signals. This book approaches TA in a systematic way utilizing all the available estimation theory and tests. This is achieved through the developing of novel rule-based pattern recognizers, and the implementation of statistical tests for assessing the importance of realized returns. More emphasis is given to technical patterns where subjectivity in their identification process is apparent. Our proposed methodology is based on the algorithmic and thus unbiased pattern recognition. The unified methodological framework presented in this book can serve as a benchmark for both future academic studies that test the null hypothesis of the weak-form EMH and for practitioners that want to embed TA within their trading/investment decision making processes.      ?

Prodromos E. Tsinaslanidis, Ph.D., is Lecturer of Finance in the Business School at the Canterbury Christ Church University. Dr. Tsinaslanidis' research interests include technical analysis, pattern recognition, efficient market hypothesis and design and assessment of investment and trading strategies. Achilleas D. Zapranis, Ph.D., is Professor of Finance in the Department of Accounting and Finance at the University of Macedonia, where he is also Rector. In addition, Dr. Zapranis is a member of the Board of Directors of Thessaloniki's Innovation Zone.
 

Autoren/Hrsg.

Tsinaslanidis, Prodromos E.

Zapranis, Achilleas D.

Inhaltsverzeichnis

1;Preface;8
2;List of Abbreviations;10
3;Contents;12
4;Chapter 1: Technical Analysis;15
4.1;1.1 Introduction;15
4.2;1.2 What Is Technical Analysis?;17
4.3;1.3 Efficient Market Hypothesis;18
4.4;1.4 Celebrated Tools of Technical Analysis;22
4.4.1;1.4.1 Technical Indicators;22
4.4.2;1.4.2 Technical Patterns;23
4.4.3;1.4.3 Candlesticks;26
4.4.4;1.4.4 Filter Rules;31
4.5;1.5 Controversial Perceptions for Technical Analysis;32
4.5.1;1.5.1 Science Versus Art;33
4.5.2;1.5.2 Self-Fulfilling Prophecy Versus Self-Destructive Nature;34
4.5.3;1.5.3 Back-Testing Versus Overfitting;35
4.6;1.6 Subjective Nature and Behavioral Finance Critiques;35
4.7;1.7 Purpose of the Book and Readership Level;37
4.8;1.8 Overview of the Book;37
4.9;References;39
5;Chapter 2: Preprocessing Procedures;43
5.1;2.1 Introduction;43
5.2;2.2 Data Pre-processing;43
5.3;2.3 Identification of Regional Locals;45
5.3.1;2.3.1 Identify Regional Locals with a Rolling Window;46
5.3.2;2.3.2 Perceptually Important Points;47
5.4;2.4 Conclusions;52
5.5;Appendix 1: RW Function;52
5.5.1;1.1. The Function;52
5.5.2;1.2. Description;52
5.5.3;1.3. Code;53
5.6;Appendix 2: PIPs Function;54
5.6.1;2.1. The Function;54
5.6.2;2.2. Description;54
5.6.3;2.3. Code;54
5.7;References;56
6;Chapter 3: Assessing the Predictive Performance of Technical Analysis;58
6.1;3.1 Introduction;58
6.2;3.2 Assessing the Performance of Trading Signals;58
6.2.1;3.2.1 Defining Holding Periods;59
6.2.2;3.2.2 Pair Tests;59
6.2.3;3.2.3 Bernoulli Trials;61
6.2.4;3.2.4 The Bootstrap Approach;61
6.3;3.3 Assessing the Performance of Predicting Returns;62
6.3.1;3.3.1 Measuring the Prediction Accuracy;62
6.3.2;3.3.2 Measuring the Predictability of Changes in Directions;65
6.3.3;3.3.3 Scatter Plots and Linear Regression Between Targets and Predictions;66
6.4;3.4 Conclusions;67
6.5;References;67
7;Chapter 4: Horizontal Patterns;69
7.1;4.1 Introduction;69
7.2;4.2 Existed HSARs Identification Techniques;70
7.2.1;4.2.1 HSARs Identified by Simple Numerical Rules;70
7.2.2;4.2.2 HSARs Identified with Public Announcements or Inside Information;71
7.2.3;4.2.3 HSARs Based on Market Psychology;72
7.2.4;4.2.4 Trading Range Breakouts;72
7.3;4.3 Identifying Horizontal Support and Resistance Levels (HSARs);73
7.4;4.4 Assessing the Predictive Performance;78
7.5;4.5 Empirical Results;80
7.5.1;4.5.1 Bounce Analysis;81
7.5.2;4.5.2 Profitability Analysis;85
7.5.3;4.5.3 Consistency;89
7.6;4.6 Conclusions;89
7.7;Appendix 1: HSAR Function;90
7.7.1;1.1. The Function;90
7.7.2;1.2. Description;90
7.7.3;1.3. Code;91
7.8;Appendix 2: HSARsim Function;92
7.8.1;2.1. The Function;92
7.8.2;2.2. Description;92
7.8.3;2.3. Code;93
7.9;References;94
8;Chapter 5: Zigzag Patterns;96
8.1;5.1 Introduction;96
8.2;5.2 Identifying the Head and Shoulders Pattern;97
8.2.1;5.2.1 A Simulation Experiment;102
8.3;5.3 Identifying the Double/Triple Tops/Bottoms;106
8.4;5.4 Identifying Flags, Pennants and Wedges;109
8.5;5.5 Choice of w;115
8.6;5.6 Design of Trading Rules;116
8.7;5.7 Assessing the Predictive Performance;118
8.8;5.8 Conclusions;125
8.9;Appendix 1: HS Function;126
8.9.1;1.1. The Function;126
8.9.2;1.2. Description;126
8.9.3;1.3. Code;127
8.10;Appendix 2: FLAGS Function;131
8.10.1;2.1. The Function;131
8.10.2;2.2. Description;131
8.10.3;2.3. Code;132
8.11;References;137
9;Chapter 6: Circular Patterns;138
9.1;6.1 Introduction;138
9.2;6.2 Identifying Rounding Tops/Bottoms;139
9.3;6.3 Assessing the Predictive Performance;146
9.4;6.4 Conclusions;149
9.5;Appendix 1: RBottoms Function;150
9.5.1;1.1. The Function;150
9.5.2;1.2. Description;150
9.5.3;1.3. Code;151
9.5.3.1;1.3.1. RBcircles Sub-function;154
9.6;References;155
10;Chapter 7: Technical Indicators;157
10.1;7.1 Introduction;157
10.2;7.2 Moving Averages;157
10.2.1;7.2.1 Simple Moving Average;158
10.2.2;7.2.2 Linearly Weighted Moving Average;159
10.2.3;7.2.3 Exponential Moving Average;160
10.3;7.3 Moving Averages Crossovers;160
10.4;7.4 Moving Average Convergence Divergence;161
10.5;7.5 Relative Strength Index;163
10.6;7.6 Bollinger Bands;164
10.7;7.7 Momentum;166
10.8;7.8 Price Rate-of-Change;167
10.9;7.9 Highest High and Lowest Low;168
10.10;References;169
11;Chapter 8: A Statistical Assessment;170
11.1;8.1 Introduction;170
11.2;8.2 Dataset, Technical Tools and the Choice of Holding Period;171
11.2.1;8.2.1 Dataset;171
11.2.2;8.2.2 The Universe of Technical Trading Strategies;171
11.2.3;8.2.3 Holding Periods;172
11.3;8.3 An Ordinary Statistical Assessment;173
11.4;8.4 A Bootstrap Assessment;182
11.5;8.5 Conclusions;199
11.6;References;200
12;Chapter 9: Dynamic Time Warping for Pattern Recognition;202
12.1;9.1 Introduction;202
12.2;9.2 The DTW Algorithm;203
12.3;9.3 Subsequence Derivative DTW;205
12.4;9.4 Conclusions;211
12.5;References;212