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Technical Analysis - Testing the performance of five commonly used technical indicators

机译：技术分析 - 测试五种常用技术指标的性能

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摘要

This thesis examines five commonly used technical indicators and their performance on five stocks listed at the Stockholm Stock Exchange during the time period January 2010 – March 2016. The research aims to see if the technical indicators can predict return in the upcoming period and also compare the profitability of the indicators versus the buy and hold strategy. Simple OLS regressions are used to analyze whether the different technical indicators are statistically significant for return in the upcoming period. The predictive ability of the technical indicators is overall quite poor as few of the indicators prove to be statistically significant. When comparing return per week invested between the examined technical indicators versus the buy and hold strategy, results find that the buy and hold strategy outperforms the Moving Average and the Moving Average Cross-Over indicator while the Moving Average Convergence Divergence and the Combined indicator provides higher average return per invested week for the majority of the stocks. These slightly contradictory results make it hard to determine whether weak form efficiency holds on Stockholm Stock Exchange and are much in line with the mixed results from earlier research made on other stock markets.
机译：本文研究了五种常用技术指标及其在2010年1月至2016年3月期间在斯德哥尔摩证券交易所上市的五只股票上的表现。该研究旨在查看这些技术指标是否可以预测未来一段时间的收益，并进行比较。指标的获利能力与买入和持有策略。简单的OLS回归用于分析不同的技术指标对于即将来临的收益是否具有统计学意义。技术指标的预测能力总体上很差，因为很少有指标被证明具有统计学意义。比较已检查的技术指标与买入和持有策略之间的每周投资回报率时，结果发现买入和持有策略的表现优于移动平均线和移动平均交叉指标，而移动平均线趋同散度和组合指标则提供更高的大多数股票的每投资周平均收益。这些稍微矛盾的结果使得很难确定斯德哥尔摩证券交易所的弱形式效率是否成立，并且与早期在其他股票市场上进行的研究得出的混合结果非常吻合。

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