Technicka analyza akciovych trhu spolehlivost vybranych indikatoru

Bc. Pavel FUKSA

Master's thesis

Technical analysis of equity markets - reliability of chosen indicators

Abstract:

Tato diplomova prace se zabyva technickou analyzou akciovych trhu a zameruje se na spolehlivost indikatoru MACD. Hlavnim cilem prace je popis indikatoru a nasledne posouzeni jeho spolehlivosti. Spolehlivost je urcena porovnanim vysledku indikatoru s vysledky dosazenymi konzervativni strategii Kup a drz. Vyzkum je provaden na osmi akciovych titulech, obchodovatelnych na Prazske burze cennych papiru. Analyzovana data pochazeji z desetileteho obdobi 2007-2016. Indikator MACD je v praci pocitan ve trech odlisnych variantach. Vyzkum nejprve analyzuje vyvoj pasivni strategie Kup a drz a nasledne porovnava jednotlive varianty indikatoru MACD s pasivni strategii na trech zakladnich delkach. Nasledne je v praci provedena optimalizace casovych delek (jsou nalezeny nejvynosnejsi delky). V uplnem zaveru je posouzen vliv transakcnich nakladu na dosazene vysledky.

Abstract:

This diploma thesis deals with efficiency of the MACD indicator. The main aim of this paper is to describe the indicator and asses its efficiency. The efficiency is determined by a comparision between the results of the indicator and the conservative "Buy and Hold" strategy. The research was carried out on the basis of daily closing share prices of eight companies, traded on the Prague stock exchange, during the ten-year period from 2007 to 2016. The indicator was calculated by three different methods. At first, the research analyses the development of the passive strategy "Buy and Hold". Afterwards, there is a comparision of the conservative strategy with the MACD indicator for three different time periods. Then, there is an optimalization of the time periods (finding the most profitable time periods). In the end, there is a review of the impact of transaction fees on the results.

Keywords

technicka analyza, MACD, strategie Kup a drz, indikatory

Language used: Czech

Date on which the thesis was submitted / produced: 24. 4. 2017

Accessible from:: 31. 12. 2999

Thesis defence

• Supervisor: Ing. Mgr. Milan Svoboda, Ph.D.

University of West Bohemia

Faculty of Economics

Master programme / field:
Economics and Management / Business Economics and Management