Buying stock market winners on Warsaw Stock Exchange - quantitative backtests of a short term trend following strategy
Aleksander Fafuła, Krzysztof Drelczuk
Citation: Proceedings of the 2015 Federated Conference on Computer Science and Information Systems, M. Ganzha, L. Maciaszek, M. Paprzycki (eds). ACSIS, Vol. 5, pages 1361–1366 (2015)
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.