Abstract

ZULUAGA, MAURICIO  and  VELASQUEZ, JUAN D.. TECHNICAL INDICATOR SELECTION FOR NEGOTIATING IN THE COLOMBIAN FOREIGN EXCHANGE MARTKET II: COMBINATIONS AND FILTERS (VHF AND ADX). Dyna rev.fac.nac.minas [online]. 2007, vol.74, n.152, pp.21-37. ISSN 0012-7353.

This second part examines the results that can be obtained with the combination of indicators, as well as the utility of the Indicators that determine the periods of tendency and trading (Filters). First, combinations of an oscillator and a follower of tendency were generated, operating according to the period determined by one of the Filters. Then, depending again on the periods indicated by the Filters, the indicators were tested individually, operating only in the periods for which theoretically they have better return. A problem of combinatorial optimization was also constructed, when trying to examine all the possible combinations that can be generated, for which the development of a Tabu Search algorithm was necessary. This work made possible to conclude, that although the combinations of Indicators improve the individual performances of many of the indicators, eliminating the volatility of its signals, it is possible to obtain greater returns with the use of individual Indicators of high performance.

Keywords : Technical Indicators; Technical Analysis; Colombian Exchange Market; Metaheuristics; Tabu Search.

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