Abstract
The paper researches on the effectiveness of technical indicator with the volume by choosing the volume-weighted moving average (VWMA) which consists of the simple moving average (MA) and volume based on the 2139 stocks from January 1, 2003 to January 1, 2013 in China's A-share market. There are four criteria to evaluate the volume-weighted moving average: sensitivity, reliability, risk and benefits. Comparing the performance of VWMA and MA in the sample stocks, there are several advantages by adding volume information to technical indicators: issue more trading signals, increase the proportion of profitable trading, reduce the average drawdown, and improve investment returns.
Cite
CITATION STYLE
Li, G., & Zhu, J. (2014). Research on the Effectiveness of Technical Indicators with the Volume. In Proceedings of the 2014 International Conference on Education, Management and Computing Technology (Vol. 100). Atlantis Press. https://doi.org/10.2991/icemct-14.2014.105
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