Advances and Applications in Statistics
Volume 60, Issue 2, Pages 147 - 168
(February 2020) http://dx.doi.org/10.17654/AS060020147 |
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PROFITABILITY OF MOVING AVERAGE CONVERGENCE DIVERGENCE AND MOVING AVERAGE ON VIETNAMESE STOCK: A COMPARISON
Nguyen Hoang Hung and Tran Tuan Kien
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Abstract: The present paper examines the profitability of using moving average convergence divergence (MACD) and moving average indicator (MA) for trading in Vietnamese stock market, and compares the returns to those in other markets stated in (Ülkü and Prodan [17]). The paper also compares profitability between the MACD rules in Ülkü and Prodan [17], called MACD-2, and the MACD-1 rule in (Hung [9]), which is said to be the most profitable MACD trading rule. The profitability is examined by testing the trading rules of MACD (12,26,9) and 22-day MA on the VN-Index. The result shows that both MACD and MA trading rules made excess return over the buy-and-hold strategy even after including transaction cost, and the 22-day MA rule is more efficient than the two MACD rules. The second finding is that the MACD-1 trading rule is only more profitable than the MACD-2 rule in the clearly trending period with significant growth. We also find out that the returns MACD-2 and MA (22) in Vietnam are even higher than those in other emerging and developed markets when comparing the results to those tested in (Ülkü and Prodan [17]). |
Keywords and phrases: moving average, moving average convergence divergence, trading rules, excess return.
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