An Application of the Bootstrap Method for Testing the Profitability of Selected Investment Strategies on the Warsaw Stock Exchange
DOI:
https://doi.org/10.15678/ZNUEK.2014.0928.0409Keywords:
technical analysis, moving average, bootstrap method, GARCH modelAbstract
The paper presents selected technical trading rules on the Polish stock market along with an estimate of the market’s profitability. Technical trading rules allow one to forecast changes to a stock price and identify buy and sell signals on Warsaw Stock Exchange. To do so, variable-length moving averages are applied to the main Polish stock indexes. To evaluate the economic effectiveness of the technical trading rules, t-statistics are used for testing the significance of the differences between average returns and the bootstrap techniques.
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