Trend and Momentum Technical Indicators for Investing in Market Indices

Victor Alexandre Padilha (), Vinícius Magnani (), Rafael Confetti Gatsios (), Fabiano Guasti Lima () and Rafael Moreira Antonio ()
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Victor Alexandre Padilha: School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil
Vinícius Magnani: School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil
Rafael Confetti Gatsios: ISG - Business & Economics School, Portugal
Fabiano Guasti Lima: School of Economics, Business Administration and Accounting at Ribeirão Preto, University of São Paulo. Brazil
Rafael Moreira Antonio: Fundação Getúlio Vargas, Escola de Administração de Empresas de São Paulo, Brazil

EkBis: Jurnal Ekonomi dan Bisnis, 2024, vol. 8, issue 1, 74-86

Abstract: The purpose of this study is to evaluate the effectiveness of technical analysis indicators in investment strategies. We conducted an empirical study using four trend indicators and four momentum indicators across seven market indices. Our methodology employs a parameter optimization process for each indicator and compares the results with classical parameters reported in the economics literature. Our findings indicate that no technical indicator consistently outperforms the buy-and-hold strategy in the long run. In addition, the optimization procedures did not yield significant improvements in the results. This study contributes to the ongoing debate on the effectiveness of technical analysis indicators in securities trading by adding to the literature on the subject.

Keywords: Technical Analysis; Active Investment; Passive Investment; Sharpe Ratio (search for similar items in EconPapers)
JEL-codes: E22 E44 E52 (search for similar items in EconPapers)
Date: 2024
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