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.

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Year of publication:	2014-12-22
Authors:	Chong, Terence Tai Leung ; Poon, Ka-Ho

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Chong, Terence Tai Leung and Poon, Ka-Ho (2014): A New Recognition Algorithm for “Head-and-Shoulders” Price Patterns.
Classification:	G0 - Financial Economics. General ; g02
Source:	BASE

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