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Open AccessArticle

Revisiting the Performance of MACD and RSI Oscillators

1
Hong Kong Institute of Asia-Pacific Studies, Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China
2
Department of International Economics and Trade, Nanjing University, Nanjing, Jiangsu 210093, China
3
Department of Economics, The Chinese University of Hong Kong, Hong Kong, China
4
Faculty of Economics and Business, Universiti Malaysia Sarawak, Sarawak, Malaysia
*
Author to whom correspondence should be addressed.
J. Risk Financial Manag. 2014, 7(1), 1-12; https://doi.org/10.3390/jrfm7010001
Received: 25 October 2013 / Revised: 6 January 2014 / Accepted: 28 January 2014 / Published: 26 February 2014
(This article belongs to the Collection Feature Papers of JRFM)
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. View Full-Text
Keywords: relative strength index; trading rules; moving average convergence–divergence relative strength index; trading rules; moving average convergence–divergence
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.

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