Timing Algorithm and Application Based on EM and Small-Cap Stocks Risk Indicator
In order to solve problems those are unsteadily to choose buy and sell points by using MACD and other popular classical technical indicators, this paper presents a new technical indicator and a timing algorithm based on it, based on the money flow characteristic of large-cap stocks and small-cap stocks of A-share market of China. Moreover, in order to overcome the problem of unstable returns resulting from generating stochastic initialization parameters, this paper improved the timing algorithm by using EM. With the GEM fund index data from November 2011 to September 2016, the results of our methods show that the return by using timing algorithm based on EM and small-cap stocks risk indicator is 177.23% better than those by using timing algorithm based on MACD and other popular classical technical indicators.
KeywordsSmall-cap stocks EM Timing model Returns model
This work was supported in part by the grants of Natural Science Foundation of China (61304129).
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