Analysis of fractal trading strategy with the FTSE Bursa Malaysia KLCI
This study examines the profitability of the fractals method as a confirmation signal to the existing simple moving average trading strategy in the futures market of the Kuala Lumpur Stock Exchange (KLSE). To achieve this objective, historical data back-testing was used to evaluate the cost and risk...
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| Format: | Thesis |
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2013
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| Summary: | This study examines the profitability of the fractals method as a confirmation signal to the existing simple moving average trading strategy in the futures market of the Kuala Lumpur Stock Exchange (KLSE). To achieve this objective, historical data back-testing was used to evaluate the cost and risk-adjusted return performance of three different strategies, namely the buy and hold (naïve)strategy, the moving average crossover strategy, and the moving average with fractal confirmation strategy. Sharpe ratio was used to determine the highest level of return with regards to risk levels. One-way ANOVA method was used to determine if there is any strategy which generates statistically higher average return than the rest. Overall, the results indicated that while there is no statistically significant difference among the three strategies, the moving average with fractal confirmation strategy has the highest Sharpe ratio, followed by the buy and hold strategy and the moving average with crossover system. The higher Sharpe ratio of the fractals method implies that the fractals method serve as a better confirmation signal than the moving average cross system. |
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