select ad.sno,ad.journal,ad.title,ad.author_names,ad.abstract,ad.abstractlink,j.j_name,vi.* from articles_data ad left join journals j on j.journal=ad.journal left join vol_issues vi on vi.issue_id_en=ad.issue_id where ad.sno_en='6793' and ad.lang_id='6' and j.lang_id='6' and vi.lang_id='6' Theoretical Properties of Technical Range and Its Applicatio | 6793
株式と外国為替取引のジャーナル

株式と外国為替取引のジャーナル
オープンアクセス

ISSN: 2168-9458

概要

Theoretical Properties of Technical Range and Its Applications

Haibin Xie, Guohua Zou and Shouyang Wang

As a technical indicator, technical range is widely used by chartists to read the minds of the markets. Theoretical properties and applications of this technical indicator would be of great interest to both academics and chartists. The main findings of this paper are: (1) technical range is a unit root process; (2) technical range is co-integrated with closing prices; (3) technical ranges are co-integrated if the corresponding closing prices are co-integrated. These findings are of great significance as it indicates that it is possible to scrutinize the predictive power of technical indicators by co-integration analysis. An empirical study performed on the US Apple Inc. stock prices demonstrates that trading strategy based on these findings could beat the simple buy-and-hold even after the trading costs have been removed.

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