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Kauppakorkeakoulun julkaisuportaali
Aalto-yliopiston kauppakorkeakoulun gradujen tiedot nyt Aaltodocissa: Aaltodoc-julkaisuarkisto
Kauppakorkeakoulu | Taloustieteen laitos | Kansantaloustiede | 2015
Tutkielman numero: 13992
Profitability of Technical Analysis: Back-test from 1994 to 2014: S&P 500,FTSE 100 and Russell 2000
Tekijä: Pomell, Ville
Otsikko: Profitability of Technical Analysis: Back-test from 1994 to 2014: S&P 500,FTSE 100 and Russell 2000
Vuosi: 2015  Kieli: eng
Laitos: Taloustieteen laitos
Aine: Kansantaloustiede
Asiasanat: taloustieteet; economic science; osakemarkkinat; stock markets; tuotto; rate of return
Sivumäärä: 52
Avainsanat: technical analysis; Moving Average; Parabolic SAR; RSI; Force Index; Average True Range

This study focuses on profitability of technical analysis by comparing profits acquired with portfolio traded by several technical signals to classical buy-and-hold strategy. Technical analysis tools used in this thesis are Simple Moving Averages (SMAs), Relative Strength Index (RSI), Parabolic SAR (PSAR), Force Index (FI) and Average True Range (ATR). SMA and PSAR can be categorized as trend indicators while RSI is a momentum indicator, FI is a pure volume indicator and ATR is a volatility indicator. The main research objective is to examine whether or not technical analysis can provide excess returns to portfolio over the buy-and-hold strategy.


This study is based on international stock market data. The indices under consideration are S&P 500 Index, FTSE 100 Index and Russell 2000 Index. The data contains daily trading volumes, opening and closing prices as well as daily highs and lows during the period of January 1, 1994 - December 31, 2014.

The methodology of this thesis was to calculate the overall return for traded portfolios under several time periods and compare the obtained returns with the buy-and-hold strategy's returns under the same period. Also, the mean returns for each strategy and time period is under consideration to test the significance of the strategies' returns.


The empirical results of the study provide strong evidence that the markets considered in this study are efficient and we have no reasons to reject efficient market hypothesis. The technical trading beat the buy-and-hold strategy in 35 times out of a total of 450 observations but these results were insignificant on any reasonable significance level. Based on the empirical results it can be also stated with high confidence that the technical analysis is not able to provide excess returns compared to the simple buy-and-hold strategy.
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