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Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability

Isakov, Dušan ; Marti, Didier

(Working Papers SES ; 421)

This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor’s 500 index and we find that trading rules are more profitable when...