EMD-Candlestick: Methodology and Applications
Publication in refereed journal


摘要The paper proposes an application of Empirical Mode Decomposition in technical analysis. The EMD-candlestick
is designed to replace the traditional candlestick as the signal generators in technical trading strategies to improve
the profitability. We investigate a representative set of technical trading strategies, including moving average,
trading range break-out, relative strength index, and intraday and interday trading rules, using the securities
included in Dow Jones Industrial Average from 1993 to 2012. Empirical results show that variable length moving
average rules, relative strength index rules, and intraday and interday trading rules are more profitable if EMDcandlestick
is used than if the traditional candlestick is used.
著者Raymond H. Chan, Alfred Ka Chun Ma, Hao Pan
期刊名稱Journal of Technical Analysis
出版社Market Technicians Association
出版地United Kingdom
頁次21 - 38

上次更新時間 2018-22-01 於 09:20