Tato diplomova prace se zabyva technickou analyzou akciovych trhu a zameruje se na spolehlivost indikatoru MACD. Hlavnim cilem prace je popis indikatoru a nasledne posouzeni jeho spolehlivosti. Spolehlivost je urcena porovnanim vysledku indikatoru s vysledky dosazenymi konzervativni strategii Kup a drz. Vyzkum je provaden na osmi akciovych titulech, obchodovatelnych na Prazske burze cennych papiru. Analyzovana data pochazeji z desetileteho obdobi 2007-2016. Indikator MACD je v praci pocitan ve trech odlisnych variantach. Vyzkum nejprve analyzuje vyvoj pasivni strategie Kup a drz a nasledne porovnava jednotlive varianty indikatoru MACD s pasivni strategii na trech zakladnich delkach. Nasledne je v praci provedena optimalizace casovych delek (jsou nalezeny nejvynosnejsi delky). V uplnem zaveru je posouzen vliv transakcnich nakladu na dosazene vysledky.
Annotation in English
This diploma thesis deals with efficiency of the MACD indicator. The main aim of this paper is to describe the indicator and asses its efficiency. The efficiency is determined by a comparision between the results of the indicator and the conservative "Buy and Hold" strategy. The research was carried out on the basis of daily closing share prices of eight companies, traded on the Prague stock exchange, during the ten-year period from 2007 to 2016. The indicator was calculated by three different methods. At first, the research analyses the development of the passive strategy "Buy and Hold". Afterwards, there is a comparision of the conservative strategy with the MACD indicator for three different time periods. Then, there is an optimalization of the time periods (finding the most profitable time periods). In the end, there is a review of the impact of transaction fees on the results.
Keywords
technicka analyza, MACD, strategie Kup a drz, indikatory
Keywords in English
technical analysis, MACD, strategy buy and hold, indicators
Length of the covering note
83 s.
Language
CZ
Annotation
Tato diplomova prace se zabyva technickou analyzou akciovych trhu a zameruje se na spolehlivost indikatoru MACD. Hlavnim cilem prace je popis indikatoru a nasledne posouzeni jeho spolehlivosti. Spolehlivost je urcena porovnanim vysledku indikatoru s vysledky dosazenymi konzervativni strategii Kup a drz. Vyzkum je provaden na osmi akciovych titulech, obchodovatelnych na Prazske burze cennych papiru. Analyzovana data pochazeji z desetileteho obdobi 2007-2016. Indikator MACD je v praci pocitan ve trech odlisnych variantach. Vyzkum nejprve analyzuje vyvoj pasivni strategie Kup a drz a nasledne porovnava jednotlive varianty indikatoru MACD s pasivni strategii na trech zakladnich delkach. Nasledne je v praci provedena optimalizace casovych delek (jsou nalezeny nejvynosnejsi delky). V uplnem zaveru je posouzen vliv transakcnich nakladu na dosazene vysledky.
Annotation in English
This diploma thesis deals with efficiency of the MACD indicator. The main aim of this paper is to describe the indicator and asses its efficiency. The efficiency is determined by a comparision between the results of the indicator and the conservative "Buy and Hold" strategy. The research was carried out on the basis of daily closing share prices of eight companies, traded on the Prague stock exchange, during the ten-year period from 2007 to 2016. The indicator was calculated by three different methods. At first, the research analyses the development of the passive strategy "Buy and Hold". Afterwards, there is a comparision of the conservative strategy with the MACD indicator for three different time periods. Then, there is an optimalization of the time periods (finding the most profitable time periods). In the end, there is a review of the impact of transaction fees on the results.
Keywords
technicka analyza, MACD, strategie Kup a drz, indikatory
Keywords in English
technical analysis, MACD, strategy buy and hold, indicators
Research Plan
Charakterizujte a popište technickou analýzu.
Vyberte indikátor technické analýzy a ověřte jeho spolehlivost.
Formulujte závěry.
Research Plan
Charakterizujte a popište technickou analýzu.
Vyberte indikátor technické analýzy a ověřte jeho spolehlivost.
Formulujte závěry.
Recommended resources
MUSÍLEK, Petr. Trhy cenných papírů. 2. aktualiz a rozš. vyd. Praha: Ekopress, 2011. ISBN 978-80-86929-70-5.
VESELÁ, Jitka a Martin OLIVA. Technická analýza na akciových, měnových a komoditních trzích. Praha: Ekopress, 2015. ISBN 978-80-87865-22-4.
REJNUŠ, Oldřich. Finanční trhy. 4. aktualiz. a rozš. vyd. Praha: Grada, 2014. Partners. ISBN 978-80-247-3671-6.
MURPHY, John J. Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications. Prentice Hall Press, 1999. ISBN 9780735200661.
EDWARDS, Robert D. a John MAGEE. Technical Analysis of Stock Trends. AMACOM/American Management Association, 2007. ISBN 9780814408643.
Recommended resources
MUSÍLEK, Petr. Trhy cenných papírů. 2. aktualiz a rozš. vyd. Praha: Ekopress, 2011. ISBN 978-80-86929-70-5.
VESELÁ, Jitka a Martin OLIVA. Technická analýza na akciových, měnových a komoditních trzích. Praha: Ekopress, 2015. ISBN 978-80-87865-22-4.
REJNUŠ, Oldřich. Finanční trhy. 4. aktualiz. a rozš. vyd. Praha: Grada, 2014. Partners. ISBN 978-80-247-3671-6.
MURPHY, John J. Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications. Prentice Hall Press, 1999. ISBN 9780735200661.
EDWARDS, Robert D. a John MAGEE. Technical Analysis of Stock Trends. AMACOM/American Management Association, 2007. ISBN 9780814408643.
Týká se praxe
No
Enclosed appendices
-
Appendices bound in thesis
tables
Taken from the library
Yes
Full text of the thesis
Thesis defence evaluation
Excellent
Appendices
Reviewer's report
Supervisor's report
Defence procedure record
Viz posudky vedoucího a oponenta DP a sken průběhu obhajoby.
