Empirical Assessment of the Effectiveness of Modern Technical Analysis Tools for an Active Investment Strategy in the Russian Stock Market

This paper investigates the role of technical analysis in active investing strategies, which include frequent deals on the stock market. Test statistics are introduced to test the performance of the most established of the trend followers, the Moving Average, the most frequently used counter-trend indicator, the Stochastic oscillator and to compare them to the new technical analysis indicators such as Ichimoku and Chaikin oscillator. In this paper we also expect to use statistics on trading sessions of stock market on Moscow Exchange to test which strategy or trading system is more profitable and less risky, an active one and its variations or a passive “buy-and-hold” investment strategy. Testing and optimization of active trading systems is done. We find that modern technical analysis tools are more effective than classic ones in terms of profitability, risk and sustainability. We also find positive results in trading w/out stop-loss orders. In this paper we didn’t find any evidence of active system’s extra-profitability, however, we find that a passive buy-and-hold strategy performs better in long term.