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Technical analysis and the London stock exchange: testing the MACD and RSI rules using the FT30

220 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

Abstract

This article examines two oscillators – the Moving Average Convergence–Divergence (MACD) and the Relative Strength Index (RSI) – to see if these rules are profitable. Using 60-year data of the London Stock Exchange FT30 Index, it is found that the RSI as well as the MACD rules can generate returns higher than the buy-and-hold strategy in most cases.

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References

1965The Behavior of Stock-Market Prices 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns 1992The use of technical analysis in the foreign exchange market 2004Technical Analysis in Financial Markets 1996A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994 1991Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis"

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