TEKNİK ANALİZDE ALIM- SATIM SİSTEMİ OLUŞTURMA: SİSTEMİN GEÇMİŞE YÖNELİK TESTLERİ

Bu çalışma üssel hareketli ortalamalardan türetilerek oluşturulmuş yeni bir indikatörü kullanarak teknik analizin faydasını incelemektedir. Üssel hareketli ortalamalara dayanarak yeni oluşturulan al-sat sistemi, hisse senedi piyasalarının zamanlaması için giriş ve çıkış sinyalleri üretir. Geliştirilen sistemi test etmek için farklı zaman aralıklarında BIST30, Dow Jones ve Borsa Milano için simülasyonlar yapılmıştır. Geçmişe yönelik testlerin sonuçlarına göre sistem, test edilen dönemler için hem gelişmiş piyasa olan Dow Jones ve Borsa Milano endekslerinde hem de gelişmekte piyasa olan Borsa İstanbul'da al ve tut stratejisine göre daha iyi performans göstermektedir. Sistem BIST30 endeksi için %57 - %75 aralığında, Dow Jones endeksi için %60-%71 aralığında ve Borsa Milano endeksi için %50-%60 aralığında kazançlı işlem yüzdesi üretirken, ortalama kazanç/ortalama kayıp oranı 3 farklı endeks için 1,2 ve 7,96 arasında değişmektedir. Al-sat sistemi aynı zamanda Borsa İstanbul'da işlem gören Akbank, Garanti Bankası ve Ford Otosan için de geçmişe yönelik olarak test edilmiştir. Hisseler için olan sonuçlar da endeks sonuçlarıyla benzerdir. Çalışmanın sonuçları, yeni indikatör ile oluşturulan teknik alım-satım kurallarını desteklemekte ve sistem test edilen dönemler için al ve tut stratejisine göre daha yüksek getiriler sağlayabilmektedir

BUILDING A TRADING SYSTEM IN TECHNICAL ANALYSIS: BACK TESTING OF THE SYSTEM

This study investigates the usefulness of technical analysis with building a new indicator derived from exponential moving averages. The new technical trading system based on the exponential moving averages signals the timing of stock market entry and exit. Simulations for different time periods in BIST30, DJIA, and FTSEMIB are examined to test the trading system. The results of the back testings indicate that the system outperforms the buy-and-hold strategy for tested time periods both in developed markets DJIA and FTSEMIB and in emerging markets, BIST30. The system generates a winning ratio between %57 and %75 for BIST30, %60 and %71 for DJIA and %50 and %60 for FTSEMIB while the average win/average loss ratio ranges between 1,2 and 7,96 in 3 different indexes. The trading system is also back tested for individual stocks Akbank, Garanti Bankası and Ford Otosan listed in Borsa İstanbul. The findings for the individual stocks are similar with the results of indexes. Overall, the results provide support for technical trading rules based on the new indicator and the system can generate returns higher than the buy-and-hold strategy for the tested time periods

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İnternet Kaynakları
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