Stock market trading rule based on pattern recognition and technical analysis: Forecasting the DJIA index with intraday data

Roberto Cervelló-Royo, Francisco Guijarro, Karolina Michniuk
2015 Expert systems with applications  
Elsevier Cervelló Royo, RE.; Guijarro Martínez, F.; Michniuk, K. (2015). Stock market trading rule based on pattern recognition and technical analysis: Forecasting the DJIA index with intraday data. Abstract This study introduces a new approximation of the flag price pattern recognition. We develop a trading rule which provides positive risk-adjusted returns for intraday data of the Dow Jones Industrial Average Index. In order to mitigate the data snooping problem we use a data set of more than
more » ... 90,000 observations, results are reported over 96 different configurations of the trading rule parameters. Furthermore, results are examined over 3 non-overlapping sub-periods. The trading rule provides positive results for all the configurations.
doi:10.1016/j.eswa.2015.03.017 fatcat:ywn2xeqsqrgnzogqipehrsi5s4