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Statistical Analysis of Stock Profits to Evaluate Performance of Markets

Authors:
Yoshihisa Udagawa

Keywords: Stock price prediction; Technical analysis; Candlestick charts; Market exit criteria; Profit simulation; Global market comparison.

Abstract:
Candlestick charting is one of the most popular techniques used to predict short-term stock price trends. Despite popularity, there is still no consistent conclusion for the predictability of the technique mainly due to qualitative description of candlestick patterns. This paper proposes a retrieval model with six parameters that allows us to define both candlestick patterns and price zones where the patterns occur. Because criteria that trigger exit from a market largely affect profits and losses, we propose three market exit criteria. Simulations to estimate profits are performed using five global markets with approximately the same parameters for the retrieval model and the market exit criteria. The results of simulations indicate that the proposed method leads to trades with around 85% of successful stock trades in the case of a typical uptrend candlestick pattern. Five global markets are also analyzed and compared to show graphically the profitability of the markets based on simulated profits.

Pages: 14 to 21

Copyright: Copyright (c) IARIA, 2020

Publication date: February 23, 2020

Published in: conference

ISSN: 2519-8386

ISBN: 978-1-61208-775-7

Location: Lisbon, Portugal

Dates: from February 23, 2020 to February 27, 2020