Next Article in Journal
Validation of the Merton Distance to the Default Model under Ambiguity
Previous Article in Journal
Testing for a Single-Factor Stochastic Volatility in Bivariate Series
J. Risk Financial Manag. 2014, 7(1), 1-12; doi:10.3390/jrfm7010001
Article

Revisiting the Performance of MACD and RSI Oscillators

1,2,* , 3
 and
4
Received: 25 October 2013 / Revised: 6 January 2014 / Accepted: 28 January 2014 / Published: 26 February 2014
View Full-Text   |   Download PDF [339 KB, uploaded 26 February 2014]

Abstract

Chong and Ng (2008) find that the Moving Average Convergence–Divergence (MACD) and Relative Strength Index (RSI) rules can generate excess return in the London Stock Exchange. This paper revisits the performance of the two trading rules in the stock markets of five other OECD countries. It is found that the MACD(12,26,0) and RSI(21,50) rules consistently generate significant abnormal returns in the Milan Comit General and the S&P/TSX Composite Index. In addition, the RSI(14,30/70) rule is also profitable in the Dow Jones Industrials Index. The results shed some light on investors’ belief in these two technical indicators in different developed markets.
Keywords: relative strength index; trading rules; moving average convergence–divergence relative strength index; trading rules; moving average convergence–divergence
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Share & Cite This Article

Further Mendeley | CiteULike
Export to BibTeX |
EndNote
MDPI and ACS Style

Chong, T.T.-L.; Ng, W.-K.; Liew, V.K.-S. Revisiting the Performance of MACD and RSI Oscillators. J. Risk Financial Manag. 2014, 7, 1-12.

View more citation formats

Article Metrics

Comments

Cited By

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert