Group Number: 5108
A Study of Trading Strategies: Common True Selection
Supervised by: Professor Low Buen Sin
Applied Research Project published to the Nanyang Business College, Nanyang Technical University in partial fulfilment for the degree of Bachelor of Accountancy/Bachelor of Business Educational Year 2011/2012
We would like to express our deepest admiration to the subsequent people: Teacher Low Muy buen Sin, pertaining to his endurance and tips throughout the exploration process, without which this kind of project may not have been possible. The Staff by Business Selection, Nanyang Technological University, who helped all of us in the data collection process. We would also like to express our gratitude toward everyone that has contributed to the achievements of this job in one way or another.
DESK OF MATERIAL
1 ) Introduction1
1 . 1 Background1
1 . two Motivation2
1 . 3 Preview2
2 . Literature Review4
installment payments on your 1 Specialized Analysis4
2 . 2 Efficient Market Hypothesis5
2 . three or more Technical Analysis In Singapore6
2 . 4 Average True Range7
3. Data And Methodology9
3. 1 Data Collection9
3. 2 The Trading Model11
3. 3 Further Considerations And Assumptions17
a few. 4 Tests Methodology18
four. Data Analysis21
4. one particular Test Period (In-Sample Period)21
4. a couple of Execution Period (Out-Of-Sample Period)25
Appendix A: Stocks Employed in The In-Sample Period34
Appendix B: Evaluation Of Stocks For The Out-Of-Sample Period36
Appendix C: Yearly Results For Atr Strategy41
Appendix D: Annual Sharpe Proportion For Each Stock46
Appendix Electronic: Tables Of Trade Examination Results51
This analysis aims to look at the profitability of a trading technique that utilizes Average True Range (ATR) as a technical indicator. Our technique is designed from the style used by Wilcox & Crittenden  and trading is usually simulated applying 104 stocks and shares for two sampling periods, coming from 2002 to 2006, and from 3 years ago to 2011. Our effects showed which our strategy produced significantly higher returns than the buy-and-hold strategy in the period from 3 years ago to 2011, but did not produce drastically different comes back in the period lasting by 2002 to 2006. When compared with a buy-and-hold strategy, the proposed style may help to lessen losses into a trader if the market is going through a recession, but works sub-optimally during bullish conditions.
2 . INTRODUCTION
1 ) 1 Qualifications
In his book, New Ideas in Technical analysis Systems, published in 1978, M Welles Wilder Jr. released several progressive automatic trading systems and technical indicators which made a huge impact around the world of complex technical analysis. For instance, the Relative Power Index went on to become probably the most widely used and studied technical indicators [Kirkpatrick and Dahlquist, 2011]. The Parabolic System, Direction Movement and Average Authentic Range (ATR) are ideas that have been widely accepted by simply technical analysts today in providing valuable information in predicting selling price movements of stocks, options contracts and other monetary assets. The idea of true range was first developed in Wilder's book, within the volatility program. It is accustomed to describe unpredictability by computing the maximum selection that the cost has shifted in a period. Using a 7-day average authentic range and multiplying this by a continuous, Wilder invented a trend-following strategy which in turn takes movements into consideration when identifying tendency reversals. ATR has become a well-known technical signal of volatility with many investors, and is used in equities, options contracts as well as foreign currency markets. Trading devices such as the famous Turtles [Faith 2003] offers incorporated ATR as a element of their guidelines. Many cash such as Blackstar Funds [Wilcox & Crittenden, 2005] and Tan LeBeau LLC [LeBeau, 2011] have got used an exit approach based on ATR, albeit a variation of the strategy that Wilders...
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