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Modification of technical analysis indicators and increasing the rate of return on investment

Paweł Oktaba

Paweł Oktaba

National Bank of Poland, Regional Branch in OlsztynOlsztyn, Poland
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Oktaba, Paweł
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Małgorzata Grzywińska-Rąpca

Małgorzata Grzywińska-Rąpca

University of Warmia and Mazury in Olsztyn, Faculty of Economic SciencesOlsztyn, Poland
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Grzywińska-Rąpca, Małgorzata
  
30 giu 2023
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Pubblicato online: 30 giu 2023
Pagine: 148 - 162
DOI: https://doi.org/10.2478/ceej-2023-0009
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© 2023 Paweł Oktaba et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Figure 1.

Fundamental analysis approachesSource: own elaboration based on Elbialy (2019)
Fundamental analysis approachesSource: own elaboration based on Elbialy (2019)

Figure 2.

Technical analysis approachesSource: own elaboration based on Bettman et al. (2009)
Technical analysis approachesSource: own elaboration based on Bettman et al. (2009)

Figure 3.

Strategy 1 result in the period September–December 2022 by individual transactionsSource: Own calculations based on MetaTrader4
Strategy 1 result in the period September–December 2022 by individual transactionsSource: Own calculations based on MetaTrader4

Figure 4.

Strategy 2 result in the period September–December 2022 by individual transactionsSource: Own calculations based on MetaTrader4
Strategy 2 result in the period September–December 2022 by individual transactionsSource: Own calculations based on MetaTrader4

Figure 5.

Strategy 3 result in the period September 2021 – February 2023 by individual transactionsSource: Own calculations based on MetaTrader4
Strategy 3 result in the period September 2021 – February 2023 by individual transactionsSource: Own calculations based on MetaTrader4

Figure 6.

Daily price range (%) EUR/USD September 2021 – February 2023Source: Own calculations based on: https://pl.investing.com/currencies/eur-usd-historical-data
Daily price range (%) EUR/USD September 2021 – February 2023Source: Own calculations based on: https://pl.investing.com/currencies/eur-usd-historical-data

Figure 7.

Total result of individual strategies over the examined periods (126 transactions)Source: Own elaboration based on MetaTrader4
Total result of individual strategies over the examined periods (126 transactions)Source: Own elaboration based on MetaTrader4

Descriptive statistics for analyzed variables

Variable N Important Average Median Minimum Maximum Standard dev. Skewness Kurtosis
Price closing of EUR/USD quotations 378 1.078023 1.073500 0.959200 1.188200 0.059063 −0.04244 −1.07920
Price opening of EUR/USD quotations 378 1.078474 1.074250 0.959400 1.187900 0.059316 −0.04546 −1.08409
Euro appreciation/depreciation [%] 378 −0.00025 −0.000200 −0.014900 0.021400 0.005673 0.305433 0.87710
Volume (number of transactions concluded on the EUR/USD currency pair) 378 78.84444 78.37500 17.50000 155.9600 19.15545 0.377485 1.630956

Results achieved by individual strategies during the examined periods_

Strategy No. 1 No. 2 No. 3
Number of trading signals during the period considered 126 126 126
Share of profitable signals 35% 27,78% 28,57%
Average value of a profitable position 525 pts 543 pts 1020 pts
Average value of a losing position (−)305 pts (−)182 pts (−)340 pts
Average number of trading signals per day 1,44 1,44 0,34
Aggregate result during the period under analysis (−)1735 pts 1505 pts 5970 pts

Average values of opening and closing prices_ changes (%) relating directly to the EUR/USD exchange rate and number of transactions concluded on the EUR/USD currency pair

Period Closing price Opening price Euro appreciation/depreciation [%] Volume (average number of transactions concluded on the EUR/USD currency pair)
2021 1.1515 1.1522 −0.04% 73.83
2022 1.0532 1.0536 −0.02% 79.92
2023 1.0778 1.0781 −0.01% 84.22
2021 September 1.1764 1.1776 −0.09% 69.52
October 1.1598 1.1600 −0.01% 62.28
November 1.1407 1.1418 −0.09% 83.80
December 1.1305 1.1306 0.01% 78.98
2022 January 1.1316 1.1324 −0.06% 64.05
February 1.1342 1.1341 −0.01% 75.33
March 1.1014 1.1025 −0.06% 77.41
April 1.0799 1.0830 −0.23% 72.61
May 1.0581 1.0574 0.08% 74.02
June 1.0562 1.0573 −0.11% 80.38
July 1.0181 1.0194 −0.12% 83.73
August 1.0122 1.0131 −0.07% 79.36
September .9897 .9911 −0.11% 84.80
October .9840 .9837 0.04% 92.18
November 1.0210 1.0185 0.24% 90.53
December 1.0588 1.0576 0.13% 84.06
2023 January 1.0776 1.0771 0.07% 84.48
February 1.0783 1.0807 −0.21% 83.51
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Economia e business, Economia politica, Teoria economica, sistemi e strutture, Microeconomia, Macroeconomia, Politica economica
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