Is the CRISMA technical trading system profitable?

被引：1
|
作者：
Marshall, Ben R. [1 ]
Cahan, Jared M. [1 ]
Cahan, Rochester H.
机构：
[1] Massey Univ, Dept Finance Banking & Property, Private Bag 11-222, Palmerston North, New Zealand
来源：
GLOBAL FINANCE JOURNAL | 2006年 / 17卷 / 02期
关键词：
CRISMA; Market efficiency; Technical analysis;
D O I：
10.1016/j.gfj.2006.05.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The CRISMA technical trading system, which comprises price momentum, volume, and relative strength components, is among the most publicized evidence against market efficiency. We re-examine the profitability of CRISMA, using all stocks in the CRSP database from 1976 to 2003, and find that it is not consistently profitable once general market movements are accounted for, even under the assumption of zero transaction costs. This result is consistent with weak-form market efficiency. We conclude that the previous evidence supportive of CRISMA appears to specify the sample of stocks considered by these studies. (C) 2006 Elsevier Inc. All rights reserved.
引用
收藏
页码：271 / 281
页数：11
相关论文
共 50 条
  • [31] Technical trading and cryptocurrencies
    Robert Hudson
    Andrew Urquhart
    [J]. Annals of Operations Research, 2021, 297 : 191 - 220
  • [32] Technical trading and cryptocurrencies
    Hudson, Robert
    Urquhart, Andrew
    [J]. ANNALS OF OPERATIONS RESEARCH, 2021, 297 (1-2) : 191 - 220
  • [33] TECHNICAL TRADING SYSTEMS
    LUKAC, LP
    BRORSEN, BW
    [J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1988, 70 (05) : 1195 - 1195
  • [34] Fuzzy logic, trading uncertainty and technical trading
    Gradojevic, Nikola
    Gencay, Ramazan
    [J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (02) : 578 - 586
  • [35] Is Technical Analysis Profitable for Individual Currency Traders?
    Abbey, Boris S.
    Doukas, John A.
    [J]. JOURNAL OF PORTFOLIO MANAGEMENT, 2012, 39 (01): : 142 - 150
  • [36] PROJECT ENGINEERING - PROFITABLE TECHNICAL PROGRAM MANAGEMENT
    MILLER, RW
    [J]. OPERATIONS RESEARCH, 1965, 13 (03) : 511 - &
  • [37] The rapid growth of cryptocurrencies: How profitable is trading in digital money?
    Manahov, Viktor
    [J]. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024, 29 (02) : 2214 - 2229
  • [38] Betting on bitcoin: a profitable trading between directional and shielding strategies
    Paolo De Angelis
    Roberto De Marchis
    Mario Marino
    Antonio Luciano Martire
    Immacolata Oliva
    [J]. Decisions in Economics and Finance, 2021, 44 : 883 - 903
  • [39] A profitable trading algorithm for cryptocurrencies using a Neural Network model
    Parente, Mimmo
    Rizzuti, Luca
    Trerotola, Mario
    [J]. EXPERT SYSTEMS WITH APPLICATIONS, 2024, 238
  • [40] How profitable is day-trading?: A study on day-trading in Korean stock market
    Lee, Eunjung
    Park, Kyung Suh
    Jang, Hasung
    [J]. ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2007, 36 (03) : 351 - 385
12345