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Investeringsstrategi baserad på tekniska analysverkty: En studie som testar SMA, RSI och Stochastic Oscillators betydelse på den svenska aktiemarknaden
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2016 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Investment strategy based on technical analysis tools : A study of SMA, RSI and Stochastic Oscillators’ relevance on the Swedish stock market (English)
Abstract [sv]

Denna studie analyserar möjligheten att med utvalda parametrar: RSI, Stochastic Oscillator och SMA utforma en investeringsstrategi för den svenska aktiemarkanden. Målsättnigen är att strategin med stor sannolikhet ska generera en hög avkastning, oberoende av andra händelser. För att avgöra sannolikheten för, och hur hög avkastningen kan bli, används regressionsanalys. Därefter beräknas den riskjusterade avkastningen för att jämföras med svenska aktiefonder, och avgöra om strategin genererar en högre eller lägre avkastning i förhållande till den risk aktiehandlaren utsätts för.

Resultatet visar att det är möjligt att med hjälp av de utvalda parametrarna hitta intressanta köplägen som ger en högre riskjusterad avkastning än svenska aktiefonder, baserat på att investeraren handlar ena dagen för att sälja kommande handelsdag. 

Abstract [en]

This study analyses the possibility to find an investment strategy that with a high probability will generate a positive return by using the technical instruments: RSI, Stochastic Oscillator and SMA. For determination of the probability and how high the return would be, a regression analysis is performed. Risk-adjusted return (Sharpe ratio) will then be calculated and compared with Swedish equity funds.

The result implies that it is possible using the selected parameters to find investment opportunities that provides higher risk-adjusted return than the Swedish equity funds, based on that the investor acquires a stock one day, and sells it the following trading day.

Place, publisher, year, edition, pages
2016.
Series
TRITA-MAT-K, 2016:16
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-189011OAI: oai:DiVA.org:kth-189011DiVA: diva2:942671
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2016-06-26 Created: 2016-06-26 Last updated: 2016-06-26Bibliographically approved

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