EMD-Candlestick: methodology and applications
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چکیده
The paper proposes an application of Empirical Mode Decomposition in technical analysis. The EMD-candlestick is designed to replace the traditional candlestick as the signal generators in technical trading strategies to improve the profitability. We investigate a representative set of technical trading strategies, including moving average, trading range break-out, relative strength index, and intraday and interday trading rules, using the securities included in Dow Jones Industrial Average from 1993 to 2012. Empirical results show that variable length moving average rules, relative strength index rules, and intraday and interday trading rules are more profitable if EMD-candlestick is used than if the traditional candlestick is used.
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