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Cuadernos de Administración

Print version ISSN 0120-3592

Abstract

CERVELLO ROYO, Roberto; GUIJARRO MARTINEZ, Francisco  and  MICHNIUK, Karolina. Stock market investment strategy and chart pattern reconnaissance: An intraday Dow Jones Index data application. Cuad. Adm. [online]. 2014, vol.27, n.48, pp.119-152. ISSN 0120-3592.

This work introduces a new approximation of the flag price pattern recognition. A trading rule which provides positive risk-adjusted returns for intraday data of the Dow Jones Industrial Average Index is developed. In order to mitigate the data snooping problem we use a data set of more than 90,000 observations, results are reported over 96 different configurations of the trading rule parameters. Results gathered from the whole sample confirm that the trading rule provides a positive return, even after considering the risk. Moreover, it beats the benchmark in the mean variance sense.

Keywords : Regla de trading; data snooping; índice Dow Jones; reconocimiento de patrones; análisis técnico; Trading rule; data snooping; Dow Jones index; pattern recognition; technical analysis.

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