A Study of the trading systems of the selected technical indicators.

by To Kwok-Fai.Thesis (M.B.A.)--Chinese University of Hong Kong, 1992.Includes bibliographical references (leaves 83-84).ABSTRACT --- p.iiACKNOWLEDGEMENTS --- p.iiiTABLE OF CONTENTS --- p.ivLIST OF ILLUSTRATIONS --- p.viLIST OF TABLES --- p.viiiChapterChapter I. --- INTRODUCTION --- p.1Chapter II. --- THE GROWTH AND CHANGING CHARACTER OF THE FOREIGN EXCHANGE MARKET --- p.3Three Economic Blocs --- p.3Increase of Trading Volume --- p.4Shift In Customer Base --- p.5Twenty-four Hours Global Market --- p.5Growth in the Use of Computer --- p.6Chapter III. --- FORECASTING OF FOREIGN EXCHANGE RATE --- p.7Efficient Market Hypothesis and Random Walk Theory --- p.7The Hypothesis --- p.7Implications --- p.9Chaos Theory --- p.9Definition --- p.9Phenomena in Foreign Exchange Market --- p.9Implications --- p.12Fundamental Analysis in Forecasting Foreign Exchange Rate --- p.12Technical Analysis in Forecasting Foreign Exchange Rate --- p.15Other Factors Influencing Foreign Exchange Rate --- p.17Chapter IV. --- METHODOLOGY --- p.18Collection of Data --- p.18Selection of Trading Systems --- p.20Construction of Trading Systems --- p.21Simple Moving Average Trading System --- p.21Directional Movement Index Trading System --- p.22Evaluation of Trading Performance --- p.27Chapter V. --- RESULTS AND FINDINGS --- p.30Simple Moving Average Trading System --- p.30Directional Movement Index Trading System --- p.40Comparison of the Two Trading Systems --- p.50Current Net Profit or Loss --- p.50Sample Standard Deviation --- p.52Sharpe Ratio --- p.52Ratio of Average Profit per Profitable Transaction to Average Loss per Losing Transaction --- p.55Chapter VI. --- CONCLUSIONS --- p.57APPENDIXChapter 1. --- Program Listing of Simple Moving Average Trading System Performance Report --- p.59Chapter 2. --- Program Listing of Directional Movement Index Trading System Performance Report --- p.63Chapter 3. --- "Detailed Listing of USD/DEM High, Low and Close Exchange Rate from Oct 18 1988 to Dec 31 1991" --- p.67BIBLIOGRAPHY --- p.8