RT Journal Article
SR Electronic
T1 Is the Rate-of-Change Oscillator Profitable?
JF The Journal of Investing
FD Institutional Investor Journals
SP 72
OP 74
DO 10.3905/joi.2011.20.3.072
VO 20
IS 3
A1 Terence Tai-Leung Chong
A1 Ka Wai Leung
A1 Ho Yin Yuen
YR 2011
UL https://pm-research.com/content/20/3/72.abstract
AB The authors evaluate the profitability of trading rules associated with the rate of change (ROC) oscillator. The ROC is an oscillator indicating the trend of the price of a security. Using the data of 13 major stock market indices, they find that the rule generated by the crossing of ROC and its exponential moving average performs extremely well in the stock markets of greater China.TOPICS: Technical analysis, equity portfolio management, analysis of individual factors/risk premia