Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market

Detalhes bibliográficos
Autor(a) principal: Lobão, Júlio
Data de Publicação: 2023
Outros Autores: Pacheco, Luís Miguel, António, Fernandes
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/11328/5090
https://doi.org/10.1002/ise3.62
Resumo: This paper examines the potential profit of bull flag trading rules in the Shangai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition of bull flag patterns in the Shangai Stock Exchange Composite Index (SSE) during the period of 1991–2021. To the best of our knowledge, no previous study has applied bull flag trading rules to the Chinese stock market. Our results indicate that bull flag trading rules can correctly predict the price movement direction of the index most of the time, achieving significantly positive excess profits. Moreover, shorter fitting windows and better quality of price fit values for lower holding periods are associated with better performance. This research may have relevant practical implications for investors who opt for this indicator in their asset allocation decisions.
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spelling Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock marketBull flag patternTechnical analysisTemplate matching techniqueTrading ruleSSE indexThis paper examines the potential profit of bull flag trading rules in the Shangai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition of bull flag patterns in the Shangai Stock Exchange Composite Index (SSE) during the period of 1991–2021. To the best of our knowledge, no previous study has applied bull flag trading rules to the Chinese stock market. Our results indicate that bull flag trading rules can correctly predict the price movement direction of the index most of the time, achieving significantly positive excess profits. Moreover, shorter fitting windows and better quality of price fit values for lower holding periods are associated with better performance. This research may have relevant practical implications for investors who opt for this indicator in their asset allocation decisions.2023-09-20T14:19:42Z2023-09-202023-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfLobão, J., Pacheco, L. M., & Fernandes, A. (2023). Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market. International Studies of Economics, (Published online: 01 august 2023), 1-18. https://doi.org/10.1002/ise3.62. Repositório Institucional UPT. http://hdl.handle.net/11328/5090http://hdl.handle.net/11328/5090Lobão, J., Pacheco, L. M., & Fernandes, A. (2023). Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market. International Studies of Economics, (Published online: 01 august 2023), 1-18. https://doi.org/10.1002/ise3.62. Repositório Institucional UPT. http://hdl.handle.net/11328/5090http://hdl.handle.net/11328/5090https://doi.org/10.1002/ise3.62eng2831-3224https://onlinelibrary.wiley.com/doi/full/10.1002/ise3.62http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessLobão, JúlioPacheco, Luís MiguelAntónio, Fernandesreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-16T02:16:05Zoai:repositorio.upt.pt:11328/5090Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:42:20.879125Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
title Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
spellingShingle Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
Lobão, Júlio
Bull flag pattern
Technical analysis
Template matching technique
Trading rule
SSE index
title_short Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
title_full Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
title_fullStr Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
title_full_unstemmed Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
title_sort Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market
author Lobão, Júlio
author_facet Lobão, Júlio
Pacheco, Luís Miguel
António, Fernandes
author_role author
author2 Pacheco, Luís Miguel
António, Fernandes
author2_role author
author
dc.contributor.author.fl_str_mv Lobão, Júlio
Pacheco, Luís Miguel
António, Fernandes
dc.subject.por.fl_str_mv Bull flag pattern
Technical analysis
Template matching technique
Trading rule
SSE index
topic Bull flag pattern
Technical analysis
Template matching technique
Trading rule
SSE index
description This paper examines the potential profit of bull flag trading rules in the Shangai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition of bull flag patterns in the Shangai Stock Exchange Composite Index (SSE) during the period of 1991–2021. To the best of our knowledge, no previous study has applied bull flag trading rules to the Chinese stock market. Our results indicate that bull flag trading rules can correctly predict the price movement direction of the index most of the time, achieving significantly positive excess profits. Moreover, shorter fitting windows and better quality of price fit values for lower holding periods are associated with better performance. This research may have relevant practical implications for investors who opt for this indicator in their asset allocation decisions.
publishDate 2023
dc.date.none.fl_str_mv 2023-09-20T14:19:42Z
2023-09-20
2023-08-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv Lobão, J., Pacheco, L. M., & Fernandes, A. (2023). Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market. International Studies of Economics, (Published online: 01 august 2023), 1-18. https://doi.org/10.1002/ise3.62. Repositório Institucional UPT. http://hdl.handle.net/11328/5090
http://hdl.handle.net/11328/5090
Lobão, J., Pacheco, L. M., & Fernandes, A. (2023). Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market. International Studies of Economics, (Published online: 01 august 2023), 1-18. https://doi.org/10.1002/ise3.62. Repositório Institucional UPT. http://hdl.handle.net/11328/5090
http://hdl.handle.net/11328/5090
https://doi.org/10.1002/ise3.62
identifier_str_mv Lobão, J., Pacheco, L. M., & Fernandes, A. (2023). Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market. International Studies of Economics, (Published online: 01 august 2023), 1-18. https://doi.org/10.1002/ise3.62. Repositório Institucional UPT. http://hdl.handle.net/11328/5090
url http://hdl.handle.net/11328/5090
https://doi.org/10.1002/ise3.62
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2831-3224
https://onlinelibrary.wiley.com/doi/full/10.1002/ise3.62
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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