Can a technical analysis-based trading strategy outperform a naive buy-hold strategy

ENGLISH ABSTRACT: Empirical research is done to determine whether trading strategies based on technical analysiscan outperform a naive buy-and-hold strategy. A study is made of classical and contemporaryacademic literature. The central investigation is threefold. Firstly, the degree of randomness ofa chosen basket of securities is determined vis-a-vis the Random Walk Hypothesis. Secondly,the effectiveness of stop loss orders is assessed. Lastly, a collection of chosen tradingstrategies is back-tested on security data ranging over 20 years. Performance of these systemsis measured on net average and risk-adjusted gains in the absence of transaction and taxationcosts. The finding of this report is that, in the absence of these costs, certain technical tradingstrategies can indeed outperform a buy-and-hold strategy. Although end-of-day data is usedthroughout the study, the techniques can also be applied to intra-day trading.