A Study of Trading Strategies: Average True Range
Group Number: 5108
A Study of Trading Strategies: Average True Range
U0910125L
U0910419G
U0910323K
Supervised by: Professor Low Buen Sin
Applied Research Project submitted to the Nanyang Business School, Nanyang Technological University in partial fulfilment for the degree of Bachelor of Accountancy/Bachelor of Business
Academic Year 2011/2012
ACKNOWLEDGEMENTS
We would like to express our deepest appreciation to the following people:
Professor Low Buen Sin, for his patience and advice throughout the research process, without which this project would not have been possible.
The Staff at Business Library, Nanyang Technological University, who helped us in the data collection process.
We would also like to express our gratitude towards everyone who has contributed to the success of this project in one way or another.
TABLE OF CONTENTS Abstract iii 1. Introduction 1 1.1 Background 1 1.2 Motivation 2 1.3 Preview 2 2. Literature Review 4 2.1 Technical Analysis 4 2.2 Efficient Market Hypothesis 5 2.3 Technical Analysis In Singapore 6 2.4 Average True Range 7 3. Data And Methodology 9 3.1 Data Collection 9 3.2 The Trading Model 11 3.3 Further Considerations And Assumptions 17 3.4 Testing Methodology 18 4. Data Analysis 21 4.1 Test Period (In-Sample Period) 21 4.2 Execution Period (Out-Of-Sample Period) 25 5. Conclusion 29 6. References 31 7. Appendix 34 Appendix A: Stocks Used In The In-Sample Period 34 Appendix B: Analysis Of Stocks For The Out-Of-Sample Period 36 Appendix C: Yearly Returns For Atr Strategy 41 Appendix D: Yearly Sharpe Ratio For Each Stock 46 Appendix E: Tables Of Trade Analysis Results 51
ABSTRACT
This research aims to examine the profitability of a trading strategy that utilizes Average True Range (ATR) as a technical indicator. Our strategy is adapted from the model used by Wilcox & Crittenden [2005] and trading is simulated using 104 stocks for two sampling
A Study of Trading Strategies: Average True Range
U0910125L
U0910419G
U0910323K
Supervised by: Professor Low Buen Sin
Applied Research Project submitted to the Nanyang Business School, Nanyang Technological University in partial fulfilment for the degree of Bachelor of Accountancy/Bachelor of Business
Academic Year 2011/2012
ACKNOWLEDGEMENTS
We would like to express our deepest appreciation to the following people:
Professor Low Buen Sin, for his patience and advice throughout the research process, without which this project would not have been possible.
The Staff at Business Library, Nanyang Technological University, who helped us in the data collection process.
We would also like to express our gratitude towards everyone who has contributed to the success of this project in one way or another.
TABLE OF CONTENTS Abstract iii 1. Introduction 1 1.1 Background 1 1.2 Motivation 2 1.3 Preview 2 2. Literature Review 4 2.1 Technical Analysis 4 2.2 Efficient Market Hypothesis 5 2.3 Technical Analysis In Singapore 6 2.4 Average True Range 7 3. Data And Methodology 9 3.1 Data Collection 9 3.2 The Trading Model 11 3.3 Further Considerations And Assumptions 17 3.4 Testing Methodology 18 4. Data Analysis 21 4.1 Test Period (In-Sample Period) 21 4.2 Execution Period (Out-Of-Sample Period) 25 5. Conclusion 29 6. References 31 7. Appendix 34 Appendix A: Stocks Used In The In-Sample Period 34 Appendix B: Analysis Of Stocks For The Out-Of-Sample Period 36 Appendix C: Yearly Returns For Atr Strategy 41 Appendix D: Yearly Sharpe Ratio For Each Stock 46 Appendix E: Tables Of Trade Analysis Results 51
ABSTRACT
This research aims to examine the profitability of a trading strategy that utilizes Average True Range (ATR) as a technical indicator. Our strategy is adapted from the model used by Wilcox & Crittenden [2005] and trading is simulated using 104 stocks for two sampling