Evaluation of the Performance of a Dynamic Trading Strategy by Combining the Flag Pattern Detection Technique and an Exponential Moving Average with Cumulative Particle Motion Optimization

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:

Designing trading systems with good returns is critical for capital market investors. Trading systems are often based on a combination of several tools to use their combined information. For the first time in Iran, the present study aimed to propose a pattern detection algorithm for a flag pattern based on Japanese candlestick charts and their arrangement. By recognizing the pattern and if the 4- and 10-day moving average is confirmed, a shopping position is developed, and the selling time is determined based on an optimized and dynamic process commensurate with price changes and the data scale. Our objective was to address the question of whether the returns resulting from this strategy have a more significant positive return compared to the purchase and maintenance strategy. The research sample included the daily information of 16 active companies of basic metals in Tehran Stock Exchange during 2007-2019, extracted from the database of Novin Rahavard software. Data analysis was performed in MATLAB software, and the obtained experimental evidence was described using t-test. According to the results, the research strategy had a higher performance in terms of returns and risks compared to the market.

Language:
English
Published:
Advances in Mathematical Finance and Applications, Volume:8 Issue: 1, Winter 2023
Pages:
319 to 335
https://www.magiran.com/p2527165  
سامانه نویسندگان
  • Corresponding Author (1)
    Sayyed Mohammad Reza Davoodi
    Associate Professor department of management, Dehaghan Branch, Islamic Azad University, Dehqan, Iran
    Davoodi، Sayyed Mohammad Reza
اطلاعات نویسنده(گان) توسط ایشان ثبت و تکمیل شده‌است. برای مشاهده مشخصات و فهرست همه مطالب، صفحه رزومه را ببینید.
مقالات دیگری از این نویسنده (گان)