HOW TO MAKE A PROFITABLE TRADING STRATEGY MORE PROFITABLE?

Terence Tai Leung Chong and Tau-Hing Lam
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Tau-Hing Lam: Department of Economics, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong

The Singapore Economic Review (SER), 2013, vol. 58, issue 03, 1-17

Abstract: Chong and Lam and Chonget al.show that SETAR(200) and MA(50) outperform other rules in both the U.S. and the Chinese stock market. This paper investigates the synergy of combining SETAR(200) and MA(50) rules in ten U.S. and Chinese stock market indexes. It is found that the SETAR rule performs better in the U.S. market, while the MA rule performs better in the Chinese market. In addition, we find evidence that a new strategy combining the two rules together is able to create synergy. An immediate implication of our result is that investors are able to improve the performance of their portfolios by combining existing profitable trading rules.

Keywords: SETAR model; bootstrap; GARCH-M model; combined strategy; market efficiency; C22; G10; G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0217590813500197

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