بررسي سودآوري قواعد مبادلاتي ميانگين متحرك در بورس اوراق بهادار تهران

Profitability of the Technical Trading Rules in the Tehran Stock Market

This paper has two objectives: the first one is to find out if the use of different technical trading rules (TTR) provides higher returns than the simple trading rules (STR); the second one is to observe whether the technical trading rules have a more predictive power of stock prices patterns. Several papers have recently presented evidence that some simple trading rules are useful for predicting stock market returns in newly established stock markets such as stock markets in Malaysia, Taiwan, and Thailand while it appears that they no longer work well in the developed countries stock markets such as stock markets in Japan and Hong Kong. Some economists consider the inefficiency of some markets as an opportunity to employ the technical approach to increase profit. This paper examines the level of profitability of trading using the moving averages rules at the Tehran Stock Market. The findings show that using variable length moving average (VLMA) rules yield large positive profits compared to the simple trading rules. However, the profitability rates are different given different time length. Moreover, it is observed that the short run moving averages produce better results than the long run moving averages.