Profitability of the Directional Indicators

Wing-Shing Lam and Terence Tai Leung Chong

Applied Financial Economics Letters, 2006, vol. 2, issue 6, 401-406

Abstract: This paper studies the profitability of the Directional Movement Index (DMI) trading rule. It is found that the 10-, 14- and 20-day DI generate considerable return and beat the buy-and-hold strategy for the Hang Seng, KOSPI, Nikkei 225 and TWSE. However, the rules do not perform well in more efficient markets such as the UK and the US stock markets.

Date: 2006
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DOI: 10.1080/17446540600647045

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