Is the Rate-of-Change Oscillator Profitable?

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Is the Rate-of-Change Oscillator Profitable?

Chong, Terence Tai-Leung; Leung, Ka Wai; Yuen, Ho Yin

Journal of Investing, 08/2011, Volume: 20, Issue: 3

Journal Article, Trade Publication Article

The authors evaluate the profitability of trading rules associated with the rate of change (ROC) oscillator. The ROC is an oscillator indicating the trend of the price of a security. Using the data of 13 major stock market indices, they find that the rule generated by the crossing of ROC and its exponential moving average performs extremely well in the stock markets of greater China. PUBLICATION ABSTRACT

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Chong, Terence Tai-Leung | Leung, Ka Wai | Yuen, Ho Yin

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