A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns

Terence Tai Leung Chong and Ka-Ho Poon

MPRA Paper from University Library of Munich, Germany

Abstract: Savin et al. (2007) and Lo et al. (2000) analyse the predictive power of head-and-shoulders (HS) patterns in the U.S. stock market. The algorithms in both studies ignore the relative position of the HS pattern in a price trend. In this paper, a filter that removes invalid HS patterns is proposed. It is found that the risk-adjusted excess returns for the HST pattern generally improve through the use of our filter.

Keywords: Technical analysis; Head-and-shoulders pattern; Kernel regression. (search for similar items in EconPapers)
JEL-codes: G0 G02 (search for similar items in EconPapers)
Date: 2014-12-22
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Related works:
Journal Article: A new recognition algorithm for “head-and-shoulders” price patterns (2017)
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