International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Identification and Evaluation of Practical Technical Analysis Strategies in the Iranian Stock Market

Document Type : Original Article

Authors
1 PhD student, Department of Accounting, Ahvaz branch, Islamic Azad University, Ahvaz, Iran.
2 Assistant Professor, Department of Accounting, Dezful branch, Islamic Azad University, Dezful, Iran
3 Assistant Professor, Department of Accounting, Ahvaz branch, Islamic Azad University, Ahvaz, Iran.
4 Assistant Professor, Department of Economics, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran.
10.30495/ijfma.2024.77834.2151
Abstract
The aim of this research is to identify and evaluate practical technical analysis strategies in the Iranian capital market. To identify the strategies, a comprehensive search was conducted using the NoorMagz, IranDoc, and SID databases, gathering all articles published in scientific and research journals with keywords such as technical, technical analysis, and chartist. Subsequently, through content analysis, the practical strategies found in these articles were extracted and converted into trading robots using MQL5 language. Finally, after execution, these strategies were evaluated using the Sharpe ratio. The results from the content analysis identified 21 technical analysis strategies. The evaluation results show that the strategy "Short-Term 5-Day Moving Average and Long-Term 60-Day Moving Average with 1% Filter" with a Sharpe ratio of 0.9 performed the best, while the strategy "Breakthrough of Important Highs and Momentum" with a Sharpe ratio of 0.33 had the weakest performance among the strategies examined. Given that the Sharpe ratio for all strategies falls between zero and one, it appears that these strategies are not optimized, and caution should be exercised in their practical application.
Keywords

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