Profitability of simple technical trading rules of Chinese stock exchange indexes》.pdf

Physica A 439 (2015) 75–84 Contents lists available at ScienceDirect Physica A journal homepage: /locate/physa Profitability of simple technical trading rules of Chinese stock exchange indexes Hong Zhu a , Zhi-Qiang Jiang a,b,∗, Sai-Ping Li b,c , Wei-Xing Zhou a,b,d,∗ a Department of Finance, School of Business, East China University of Science and Technology, Shanghai 200237, China b Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China c Institute of Physics, Academia Sinica, Nankang, Taipei 11529, Taiwan d Department of Mathematics, School of Science, East China University of Science and Technology, Shanghai 200237, China h i g h l i g h t s • Profitability of simple technical trading rules is investigated on Chinese stock exchange indexes. • We focus on moving average and trading range break rules. • Trading range break rules outperform moving average rules. • Short-term VMA rules outperform long-term VMA rules. • Simple trading rules cannot beat the standard buy-and-hold strategy for Chinese stock indexes. a r t i c l e i n f o a b s t r a c t Article history: Although technical trading rules have been widely used by practitioners in financial Received 9 April 2015 markets, their profitability still remains controversial. We here investigate the profitability Received in revised form 14 May 2015 of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Available online 3 August 2015 Exchange Composite Index (SHCI) from May 21, 1992 through December 31, 2013 and Shenzhe