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Title:Mehanski trgovalni sistem na podlagi tehnične analize na primeru New York Stock Exchange
Authors:Ritonja, Aleš (Author)
Strašek, Sebastjan (Mentor) More about this mentor... New window
Jagrič, Timotej (Co-mentor)
Files:.pdf MAG_Ritonja_Ales_2012.pdf (4,40 MB)
 
Language:Slovenian
Work type:Master's thesis/paper (mb22)
Typology:2.09 - Master's Thesis
Organization:EPF - Faculty of Business and Economics
Abstract:V nalogi smo sprva predstavili osnove tehnične analize, prav tako pa smo predstavili vzorce in indikatorje tehnične analize. Nato smo diskutirali o hipotezi učinkovitega trga in o vedenjskih financah. S pomočjo mehanskih trgovalnih sistemov, ki so temeljili na indikatorjih tehnične analize smo preverjali hipotezo učinkovitega trga v njeni šibki obliki. Obdobje od 1.3.2006 do 1.3.2011, v katerem smo testirali različne mehanske trgovalne sisteme, predstavlja obdobje finančne in gospodarske krize. V tem obdobju smo testirali pet različnih mehanskih trgovalnih sistemov. Za testiranje smo si izbrali 10 delnic z indeksa Dow Jones Industrial Average, ki so zelo likvidne. Donosnost petih trgovalnih strategij, ki so temeljile na indikatorjih tehnične analize smo primerjali s strategijo buy and hold izbranih delnic in z donosnostjo indeksa DJIA. Podatke smo pridobili iz Yahoo Finance. Preverjali smo tudi donosnost obrambnih delnic v času gospodarske krize, se pravi v času nižanja vrednosti borznih indeksov.
Keywords:Mehanski trgovalni sistem, tehnična analiza, hipoteza učinkovitega trga, vedenjske finance, borzni trg
Year of publishing:2012
Publisher:[A. Ritonja]
Source:Maribor
UDC:336.76
COBISS_ID:11079964 Link is opened in a new window
NUK URN:URN:SI:UM:DK:AN5EU99J
Views:1221
Downloads:101
Metadata:XML RDF-CHPDL DC-XML DC-RDF
Categories:EPF
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Secondary language

Language:English
Title:Mechanical Trading System Based on Technical Analysis on the Case of New York Stock Exchange
Abstract:In this thesis we have introduced the basics of technical analysis, patterns and indicators of technical analysis. Then we have discussed efficient market hypothesis and behavioural finance. We have tested the efficient market hypothesis in her weak form with mechanical trading systems, which are based upon technical analysis indicators. The period from 1.3.2006 to 1.3.2011, in which we tested different mechanical trading systems, represents the period of financial and economic crisis. We have tested five different mechanical trading systems. We have tested 10 stocks that are included in Dow Jones Industrial Average index and have high liquidity. We compared the results of five trading strategies, which were based on indicators of technical analysis, with trading strategy buy and hold of chosen stocks and with index DJIA. We gained data from Yahoo Finance. We have also checked the return of defensive stocks in time of economic crisis, meaning the time when market indexes were falling.
Keywords:Mechanical trading system, technical analysis, Efficient Market Hypothesis, behavioural finance, stock market


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