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Annals of Computer Science and Information Systems, Volume 5

Proceedings of the 2015 Federated Conference on Computer Science and Information Systems

Buying stock market winners on Warsaw Stock Exchange - quantitative backtests of a short term trend following strategy

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DOI: http://dx.doi.org/10.15439/2015F338

Citation: Proceedings of the 2015 Federated Conference on Computer Science and Information Systems, M. Ganzha, L. Maciaszek, M. Paprzycki (eds). ACSIS, Vol. 5, pages 13611366 ()

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Abstract. This paper focuses on one of the most popular issues in the Polish finance -- is the ‘buying stock market winners' profitable on the Warsaw Stock Exchange? This study tested whether Ichimoku trend following strategy performed better than simple buy \& hold benchmark. For automated backtests WIG30 index components in the period 2012-12-28 to 2015-05-06 were used. The empirical results suggest that buying recent ``winners'' is very ineffective. These preliminary findings may imply contrarian nature of the short-term Polish financial market.