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Emanuele Viola

Emanuele Viola

Bio Coming

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            [post_date] => 2010-04-15 12:00:18
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Letter from the Editor

In this month’s newsletter, we take a look at several recent research papers on technical analysis. The field has been well studied by the academic community, and in many cases, the studies really do support our approaches. For example, relative strength has been the subject of a number of research papers. Academics prefer the term “momentum” to relative strength, but reading through any of the papers you will quickly see the underlying concepts are the same. The idea that momentum persists in stock prices has become so well documented that it is now acknowledged as a known anomaly of the Efficient Market Hypothesis. Many of the common indicators can be thought of as derivative of relative strength, and in fact Richard Tortoriello demonstrated the effectiveness of Wilder’s RSI in his book Quantitative Strategies for Achieving Alpha. The academic community could prove to be a valuable source of trading ideas for the motivated technician. Math can appear to be a hurdle – while we as technicians tend to look at winning percentages and profit factors, academics use more daunting statistical techniques. Papers tend to explain and illustrate the mathematical concepts. This is done so that others can reproduce the results. For those new to reading this type of work, you could start by reading the abstract, introduction, and conclusion. If the results seem like something you can use in your work, wading through the math would be well worth the effort. Personally, I have found a great deal of value in the academic work on momentum. There are also a number of papers showing that momentum doesn’t work well at times, and I have been able to use these papers to prepare a model showing when the risk is greatest for relative strength strategies. For those wanting to get started on studying the diverse literature available to us, a good place to start is the Social Science Research Network (www.ssrn.com) where a search on the term ‘technical analysis’ yields 1,000 hits. Not all the papers are relevant to technicians, and not all papers are available for free download. But there are many hours of reading and testing available for those willing to dig into the field of technical analysis. For those wanting to talk about whether or not academic research fits into the TA community, maybe we can continue this discussion at the MTA Symposium to be held in New York. Late May is a good time for us out-oft-owners to gather there, it should be the ‘not too cold, not too hot’ time of year. The speakers lined up by the MTA are among the best in the industry, and there is always ample time to learn from the other attendees. It’s time well spent on professional education and personal collaboration. Sincerely, Mike Carr, CMT [post_title] => Technically Speaking, April 2010 [post_excerpt] => [post_status] => publish [comment_status] => closed [ping_status] => closed [post_password] => [post_name] => technically-speaking-april-2010 [to_ping] => [pinged] => [post_modified] => 2020-03-20 11:50:54 [post_modified_gmt] => 2020-03-20 15:50:54 [post_content_filtered] => [post_parent] => 0 [guid] => https://cmtassociation.org/?post_type=technically_speaking&p=47797 [menu_order] => 0 [post_type] => technically_speaking [post_mime_type] => [comment_count] => 0 [meta_id] => 420269 [post_id] => 47797 [meta_key] => newsletter_content_5_contributor [meta_value] => a:3:{i:0;s:5:"47808";i:1;s:5:"43171";i:2;s:5:"47810";} ) )

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