A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns

Savin et al. (2007) and Lo et al. (2000) analyse the predictive power of head-and-shoulders (HS) patterns in the U.S. stock market. The algorithms in both studies ignore the relative position of the HS pattern in a price trend. In this paper, a filter that removes invalid HS patterns is proposed. It is found that the risk-adjusted excess returns for the HST pattern generally improve through the use of our filter.

MoreLess

Year of publication:	2014-12-22
Authors:	Chong, Terence Tai Leung ; Poon, Ka-Ho
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Technical analysis \| Head-and-shoulders pattern \| Kernel regression

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G0 - Financial Economics. General ; g02
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011112608