يك رويكرد "بوت استرپ" براي مقايسه سودآوري شاخص هاي تحليل تكنيكي-بورس اوراق بهادار تهران

Evaluating for Profitability of Technical Trading Rules in Tehran Stock Exchange - A Bootstrap Approach

Technical analysis is essentially the search for recurrent and predictable patterns in stock prices. Technical analysis Rules (so called technical trading rules), whiles they are various forms of it, aim in general at identifing the initiation of new trends, hi this study, we evaluate the profitability of 46 popular technical trading rules such as Moving average, Trading range breakout, Bollinger bands, Stochastic, RSI and MACD in 22 company in Tehran Stock Exchange (TSE) from 1995-2005. The small size, short-selling constraints, lack of analyst coverage, and loose insider trading regulation suggest that the TSE equity market may be less efficient This makes Technical analysis to be potentially more profitable. To overcome the shortfalls of the t-test methodology within our test sample, the significance of the technical trading rules are analyzed using the Bootstrap methodology with Random Walk null models. The numerical results indicate that technical trading rules have predictive ability in the mentioned 22 companies. This result reject file null hypothesis that the returns to be earned from applying trading rules values are equal to those achieved from a naive buy and hold strategy. This Research also illustrates that among all 46 Technical trading rules, Moving average and Stochastic are the most profitability trading rules.