J. Risk Financial Manag. 2014, 7(1), 1-12; doi:10.3390/jrfm7010001

Revisiting the Performance of MACD and RSI Oscillators

1,2,* email, 3email and 4email
Received: 25 October 2013; in revised form: 6 January 2014 / Accepted: 28 January 2014 / Published: 26 February 2014
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.
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
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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.

AMA Style

Chong TT-L, Ng W-K, Liew VK-S. Revisiting the Performance of MACD and RSI Oscillators. Journal of Risk and Financial Management. 2014; 7(1):1-12.

Chicago/Turabian Style

Chong, Terence T.-L.; Ng, Wing-Kam; Liew, Venus K.-S. 2014. "Revisiting the Performance of MACD and RSI Oscillators." J. Risk Financial Manag. 7, no. 1: 1-12.

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