Optimization of Investment Management in Warsaw Stock Market

• Autorzy: Maciej Janowicz , Arkadiusz Orłowski , Franciszek, Michał Warzyński
• Języki publikacji: EN

Abstrakty

EN

Application of simple prescriptions of technical analysis on the Warsaw Exchange Market (GPW) has been analyzed using several stocks belonging to WIG20 group as examples. Only long positions have been considered. Three well-known technical-analysis indicators of the market have been investigated: the Donchian channels, the Relative Strength Index, and Moving Average Convergence-Divergence indicator. Optimal values of parameters of those indicators have been found by "brute force" evaluation of (linear) returns. It has been found that trading based on both Donchian channels and Relative Strength Index easily outperform the "buy and hold" strategy if supplied with optimal values of parameters. However, those optimal values are by now means universal in the sense that they depend on particular stocks, and are functions of time. The optimal management of capital in the stock market strongly depends on the time perspective of trading. Finally, it has been argued that the criticism of technical analysis which is often delivered by academic quantitative financial science is unjustified as based of false premises. (original abstract)

Słowa kluczowe

PL

Giełda papierów wartościowych; Analiza techniczna; Wskaźniki giełdowe

EN

Stock market; Technical analysis; Stock market indices

• Czasopismo: Przedsiębiorczość i Zarządzanie
• Rocznik: 2014
• Tom: 15
• Numer: z. 2 Entrepreneurship and Human Resources in Management
• Strony: 143-156

Twórcy

autor

Maciej Janowicz

• Warsaw University of Life Sciences - SGGW, Poland

autor

Arkadiusz Orłowski

• Warsaw University of Life Sciences - SGGW, Poland

autor

Franciszek, Michał Warzyński

• University of Social Sciences, Poland

Bibliografia

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Identyfikatory

DOI

10.2478/eam-2014-0023