Revisiting the Performance of MACD and RSI Oscillators

Journal of Risk and Financial Management

Terence Tai-Leung Chong¹  Wing-Kam Ng² 

[1] Hong Kong Institute of Asia-Pacific Studies, Department of Economics, The Chinese University of Hong Kong, Shatin, Hong Kong, China;Department of Economics, The Chinese University of Hong Kong, Hong Kong, China; E-Mail:

关键词: relative strength index;    trading rules;    moving average convergence–divergence;   

DOI  :  10.3390/jrfm7010001

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland.