CRISMA revisited

Alan Goodacre and Tessa Kohn-Speyer

Applied Financial Economics, 2001, vol. 11, issue 2, 221-230

Abstract: The CRISMA multiple component trading system (Pruitt and White, Journal of Portfolio Management, 14, 55-8, 1988) seeks to identify equity trades by using jointly the three technical filters of the relationship between 50 day and 200 day moving averages, relative strength and cumulative volume. The current study re-examines the CRISMA system using US data over the period 1988-1996. Overall, trades identified by the system were profitable, on average, but only prior to any adjustment for market movements and risk; after adjustment, they ceased to be so even with an assumption of zero transaction costs. Performance of the system was not stable over time and trades on larger companies fared better than small. Further investigation of the multi component nature of CRISMA revealed that it is, in large part, a moving average trading rule. In terms of the number of trades identified, the effect of the cumulative volume and relative strength components is relatively minor and the contribution of these two filters to observed returns is negative. Overall, the current study finds little support for the CRISMA trading system once market movements, risk and transaction costs are taken into account. The results are consistent with market efficiency.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100010022475 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:11:y:2001:i:2:p:221-230

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100010022475

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().