Thesis (MBA)--Stellenbosch University, 2008. / ENGLISH ABSTRACT: Empirical research is done to determine whether trading strategies based on technical analysis
can outperform a naive buy-and-hold strategy. A study is made of classical and contemporary
academic literature. The central investigation is threefold. Firstly, the degree of randomness of
a chosen basket of securities is determined vis-a-vis the Random Walk Hypothesis. Secondly,
the effectiveness of stop loss orders is assessed. Lastly, a collection of chosen trading
strategies is back-tested on security data ranging over 20 years. Performance of these systems
is measured on net average and risk-adjusted gains in the absence of transaction and taxation
costs. The finding of this report is that, in the absence of these costs, certain technical trading
strategies can indeed outperform a buy-and-hold strategy. Although end-of-day data is used
throughout the study, the techniques can also be applied to intra-day trading. / AFRIKAANSE OPSOMMING: Empiriese navorsing is gedoen om te bepaal of handelstrategiee wat op tegniese ontleding
gebaseer is, beter kan presteer as 'n klassieke konserwatiewe koop-en-hou-strategie.
Omvattende literatuurstudie is gedoen van klassieke en kontemporere literatuur, en die kruks
van die navorsing is drieledig. Eerstens word die toevalligheidsgraad van 'n gekose
aandelepakket ten opsigte van die hipotese van ewekansigce koersbeweging bepaal. Tweedens
word die effektiwiteit van "stop-verlies" opdragte ontleed en laastens word 'n versameling
historiese handelstrategiee getoets met die laaste 20 jaar se aandeledata. Die prestasie van die
onledingstelsels word gemeet aan die hand van die netto gemiddelde en risiko aangepaste
opbrengste met uitsluiting van die transaksie en belasting kostes. Die bevinding van die studie
is dat met uitsluiting van die transakie en belasting kostes, die gebruik van tegniese ontledings
inderdaad hoer opbrengste lewer as die klassieke koop-en-hou strategie. Alhoewel dag
sluitingsdata deurlopend vir die studie gebruik was, kan die tegnieke ook op intradag data
toegepas word.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/8326 |
| Date | 12 1900 |
| Creators | Gross, Peter |
| Contributors | Gevers, Wim, Stellenbosch University. Faculty of Economic and Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : Stellenbosch University |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Rights | Stellenbosch University |
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