ResearchBib Share Your Research, Maximize Your Social Impacts
Sign for Notice Everyday Sign up >> Login

THE PERFORMANCE OF TECHNICAL ANALYSIS FOR THE UX INDEX IN WAR CONDITIONS COMPARED WITH THE PRE-WAR PERIOD USING THE PRICE AVERAGE CROSSOVER

Journal: International scientific journal "Internauka." Series: "Economic Sciences" (Vol.2, No. 88)

Publication Date:

Authors : ;

Page : 198-211

Keywords : technical analysis; stock market; UX index; trading strategy development; commission expenses; simple moving average; exponential moving average; linear weighted moving average;

Source : Downloadexternal Find it from : Google Scholarexternal

Abstract

Introduction. Technical analysis is one of the primary and most popular methods for forecasting in the stock market, despite the mixed results of numerous studies on the accuracy of predictions based on technical analysis methods and their practical applicability. Given the small size of the Ukrainian stock market, there are few studies on the effectiveness of technical analysis methods, especially for the period following the full-scale invasion. Therefore, it is relevant to research and compare the effectiveness of technical analysis methods for the Ukrainian stock market after the start of the full-scale invasion compared to the period before 2022. Purpose. The purpose of the article is to compare the performance of trading strategies based on technical analysis methods (price crossover using different types of moving averages) for the Ukrainian Equities Index (UX) during the period after the fullscale invasion on February 24, 2022, and for a similar period before the invasion, taking into account the impact of commission expenses on the performance of trading strategies. Materials and methods. The materials of the study include: 1) scientific works of domestic and foreign authors investigating the practical and theoretical aspects of technical analysis; materials from scientific conferences. 2) The website of Ukrainian Exchange is the source of data on the UX index. In the process of research both general scientific and specialized research methods were used: theoretical analysis and systematization (to study and summarize information about technical analysis methods), economic-mathematical methods (to formalize and automate trading strategies based on selected technical analysis methods), graphical methods (to compare the performance of trading strategies and to visually present the intermediate stages and results of the study), and logical generalization of results (to formulate conclusions and further research perspectives). Results. The performance of trading strategies based on the crossover of moving averages and price for the UX index was calculated for each period value from 2 to 100 inclusive. A comparison of the performance of trading strategies using different types of moving averages was carried out. The performance of trading strategies for the period before the full-scale invasion and after the full-scale invasion was also compared. To account for the impact of commission expenses, calculations were performed in two ways: first without considering commissions, then with different commission levels. The practical value of the article lies in the fact that the obtained results can be used for the development and analysis of automated trading strategies; additionally, the collected data and program codes can be used for further research on related topics. Discussion. In further research it is proposed to focus on other quantitative methods of technical analysis for a greater number of markets and over longer time periods using various approaches to selecting optimal parameters. Another promising direction is to compare the performance of technical analysis methods in pre-crisis, crisis, and post-crisis periods using data from other countries and time periods, not limited to the period of the Russian invasion of Ukraine.

Last modified: 2024-12-16 09:23:46