استفاده از مدل شمعدان در انتخاب سهام

This paper examines Japanese Candlestick methods of technical analysis for 349 stocks. Using more data and alternative tests, the study contradicts an earlier article in the literature, finding little value in the use of candlesticks and providing more support for the weak form of the Efficient Markets Hypothesis.

Technical analysis, or charting, has a long history. Using only the past returns of an asset successfully to predict future turning points in the asset's performance has been the holy grail of investing, potentially enabling the investor to amass a fortune without having to bother with accounting data or the like. A best-selling survey of charting methods by Pring (2002) is testimony to the hold that technical analysis has had on investors. The academic literature has been critical of trying to time trades with only past prices of an asset. Reaching prominence with Fama, 1965 and Fama, 1970 and continuing with Malkiel (2003),1 studies have found technical analysis to be of little or no value. The weak form of the Efficient Markets Hypothesis (EMH) implies that past price information for a stock is of no value in predicting future movements of the stock's returns. Some recent studies, however, have called the EMH into question. Bessembinder and Chan (1998), Caginalp and Laurent (1998), Lo, Mamaysky, and Wang (2000), and Ready (2002) are some of the more recent studies that have provided a ray of hope to investors seeking to discover just the right combination of signals to profit from charting. Caginalp and Laurent (1998) favorably evaluate the Japanese method of “Candlestick Charting” for profiting from stocks.

Japanese Candlestick Charting is a popular method for investors to try to make profits in trading financial assets. Using open, close, high, and low prices, the approach posits rules-of-thumb for timing the market. This paper contains the results of an investigation of four of the bull market signals and four of the bear market signals used by Caginalp and Laurent (1998) as well as an additional bear market signal. While Caginalp and Laurent found, in contrast to the generally accepted weak EMH, that the methods had value in forecasting turning points, this paper finds the previously analyzed Candlestick Charting methods to be of no value in trading individual stocks. Therefore, the use of stars, crows, or doji in buying and selling stocks is not recommended.