an early warning model for technical trading i indicato rsork is prop casting wh tors are gen...
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An Kutluk DepartmE-mail: Receive CopyrigEurasianreprodu ABSTRIn this sor will bthe dailythe dailyreturns dependeindicatoExchang KeyworOrdered JEL: C2 1. INTR The commethods"NSI", wof the rlagged a With a which wvalue "Nfalling dependevariable The Oreconom How did
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istributed ue, distribut
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ast if the davalues expables are tISE (Istanb
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Journal 1 ‐ 20
ors
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rise, fall account
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press the technical bul Stock
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e shares, indicator es with a d for the ining the
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or a price hi
Nerlove, Ott
Pt* as condPt-q* and Pt Pt* as condcompared.
ral error coriable for P(Table 1):
Rising Consta Falling
mputation oood method
ready with ture developmion the concstory.
lowing acce
The share pSupply and rates etc. Easy share The change
anges at suppursued by ts instead of
The fundambasic knowapplication analysis is pindicators leactions supp IEROUX Chr
141-142
Early Warning
story is exp
enwaelter a
itionally discompared itionally dis
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of the Orderd.
the technicament of the clusion valu
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price fluctues at trends d
pply and demthe share prfundamenta
mental analyledge. In coof the techn
preferred. Teads to the ply and dem ristian (2000)
g Model with
pected in the
and Oudiz h
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stributed reg
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Table-1
red Logit an
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ues of share
he model is
etermined bccur by exte
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mand are rerices. The teal analysis a
ysis is time-ontrast to it nical analys
The confrontfact that you
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: Econometri
Technical Ind
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have in their
garded and
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Pt*\Pt+1* = - -1: Values of
nd Ordered
on the basisn values is me shows de
s at the basis
by supply anernal factors
neglected; dnges at supp
esponsible fechnical anaccording to
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cs of Qualita
dicators: The C
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with that ad
with the ex
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Probit mod
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do recognizely and dem
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and dependic knowledgreason by s
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Case of ISE (I
daptive exp
xtrapolative
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usion valuesestimated. Wand it becom
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7 LAITIL
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pment of then "0" and "1a of the RSIand. The si
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(1993). A p
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-
12
evenly dis not un 4. EMP Followiindices The maexchang CODEXU100 XU050 XU030 XKURY XUTUM XUSIN XGIDA XTEKS XKAGT XKMYA XTAST XMANA XMESYXUHIZ XELKT XULAS XTRZM XTCRT XILTM XSPORXUMAL XBANK XSGRT XFINK XHOLD XGMYO XUTEK XBLSM XSVNMXYORT XIKIU XYEKO Followimodels. 8 PINDY
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17
Early Warning
it is to be sh the estimat
ESULTS
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ES ONAL-100 ONAL-50 ONAL-30 PORATE GOVONAL - ALL SONAL - INDUSBEVERAGE E, LEATHER PAPER, PRIN
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set it possibtion of a lin
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-
14
Stabilit The stabshare prshares wat least are sele With thbeginninsecond p- for thethird of the entiare comafter thcollectio
1
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A t-test
By the fof the es
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ty of the pa
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he examinatng of a thirpassage fine order, wit
f the collectire elevation
mputed. Theat far methons and thei
0
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was accom
fulfillment stimated pa
Early Warning
CCI (-1) OSILATORPVT (-1) ROC (-1) VOLUME(MACD(-1)MOMENTRSI(-1) VOLOSIL(WILLIAMSISARET(-1
N (Mean)
LR index ((Average)
arameter es
e estimated pe, tested in ted. To the cor belongedccomplishe
tion of the d of the oldally only mth which a ions and aftns. Those oe estimated hod with thir stability i
mplished: t sta
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R(-1)
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Table-4:
stimated va
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stability ofdest collecti
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The estithe appestatistic 5. CON In summsmaller it more For all used. Tindicatoparametestimate108 momodels variablemodels models With thAnadoluis very snot reac
Model p With abprognosaccompderived afterwar Point pprognosit "NSI "NSI CLimit_1accuracbetween For the (NSI cadetermithe "NSprognos
Academy of S
imated paraendix. The change of t
NCLUSION
mary we canas if is. NSlargely as i
technical inThe conclusors. The tecter values, ted parameteodels the O
the ROC ve, for 27 mo
the volumthe NSI(-1)
hose modelu Efes and Asmall with tched.
prognoses
bove the 3ses becomeplished. With
from theserds with the
prognoses asis "NSI C"E" derived" between L
1 on (+1). Ay is determn 54 to 72 p
execution alculated lownes. With t
SI of EU" vsticated upp
Sciences Socia
ameter valuresults dispthe estimate
N
n say that duSI C takes thf is.
ndicators wion values chnical indthereby altoer values of
OSILATOR variable, foodels the me OS IL va) variable.
ls, in whicAyen Enerjthese shares
2 shares se for one h these prog
e the "NSI Ee "NSI R" (N
and interva of values d
d. "NSI C" wLimit_0 andAfter deriv
mined. In thper cent.
of the intewer one limthe help of values (NSI per one bor
al Sciences Jou
es and stabplays that thed paramete
uring the dehe value (0)
with the comof 250 sha
dicators as ogether 250 f the 250 sh
variable, isor 214 modmoment arou
ariable, for
h the techni had extrems, one can m
elect for thperiod of gnoses the "E" (NSI estiNSI real) va
al prognosedetermined was under Ld Limit_1 "ative of "Nhe case of
rval prognomit) and "ththese two lprognostica
rder) is der
ournal
ility test dehe change oer values.
erivative of ), if it lies be
mputation ofares are raiargument models are
hares were cs efficient
dels the voluund variablr 247 mode
nical indicame parametmeet the acc
he stabilitythree mon
"NSI R" (Nimated). Thalues.
es are accowith the LiLimit_0 to "NSI E" is NSI E" it is
the point p
oses additiohe NSI CO"imit valuesated lower
rived. It wa
etermined foof the numb
f NSI E: NSIetween and
f the variabised for thewere used
e set up. It pclose. For 3for 58 modume variabe, for 16 m
els the WIL
ators represter values. Sceptance tha
y test of thnths (10 O
NSI calculatehe derived "
omplished. imit_0 and L"NSI P" onspecified ons comparedprognoses r
onally still value (NS, as during ones limit)
as checked
2015, Vo
or the selectber of colle
I C the valu. NSI C tak
bles one daye calculatio
for the departicipated3 models thdels the PV
ble, for 75 mmodels the RLLIAMS va
sent the arSince the nuat iterated p
e estimatedctober to 2ed) of value"NSI E" of
In the conLimit_1 is c
n (-1) is then (0) and w
d with "NSIresulted is p
the "NSI bI calculatedthe derivatand "NSI owhether the
olume: 1
ted 32 sharctions do n
ue (-1) assumkes the value
y lagged vaons of the teterminationd interestinghe CCI variVT variablemodels the
RSI variableariable and
rguments, Tumber of coparameter va
d paramete24. Januar
es is determvalues is co
ontext of thcompared a
en specifiedwith a "NSI I R" and pprognosis a
becomes CUd upper onetive of the "of EO" value "NSI R"-
15
es are in not cause
mes, if it e (+1), if
alues are technical n of the g that the able, for
e, for all MACD
e, for 49 for 247
Turkcell, llections alues are
r values y 2007) ined and ompared
he point and from d. With a
C" over rognosis accuracy
U" value e border) "NSI E", ues (NSI -value is
-
16
within t(ever a from 70 The intbroadlyspeak wBeing ocannot binterval which respons With thobserveit an avwas obs62.5 perEU" andcent, i.e In princsafe procorrect prognosabout saabout th
An E
these two vmodel per
0 to 96 per c
tervals - "Ny. With verywith the inton the otherbe made sa borders lieagain exteible.
he regardeded period of verage valueserved withr cent, resud "NSI EO"
e. with an av
ciple one canognoses canpoint progn
ses to talk cafe prognoshe point pro
Early Warning
values - betwshare)"NSI
cent.
NSI EU" any close inteterval border side the inafe statemenes in the hirnal factor
d 32 sharesf 3 months =e of 57,4 peh the 32 shalts in an av" values an verage value
n say that wn be accomnoses altogcan lie aparses to talk cognoses as w
g Model with
ween "NSI I R" is obs
nd "NSI EOervals (ex.: ers of safe nterval bordnts about thgh standard
rs of influe
s one could= -1 to "NSIer cent for 3res within terage valueagreement e of 89 per
with all secumplished. Su
ether with rt, there thecan lie aparwell as the in
Technical Ind
EU" and "Nerved withi
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ders far apahe point prd deviation ence, lying
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urities with ummarized approx.. 57e interval brt. With thentervals ma
dicators: The C
NSI PO" -.in these int
sometimes= +1 and with agree
art ("NSI Erognosis "Nand the Lim
g apart far
interval wibetween 9
esults. "NSIby 3 monthser cent. WheR" is determ
18 (= 0.201we can say
7 per cent oborders far
remaining ade. (Table 5
Case of ISE (I
With the rterval value
s very close"NSI EO"
ement of thEU" = -1 anNSI E". The
mit_0 and Lr, as specu
idth of "NSper cent andI EU" = +1s with a freen agreeingmined betw
* 0.89) of py that one wof all prognand with ap25 per cen
5)
Istanbul Stock
regarded 32es with a fr
ely and ag= +1)"NSI
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nt can be sta
k Exchange)
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ain very I E" can rognosis. O" = +1) r the far
alues, for havior is
ithin the nt. From O" = +1 m 5,5 to E", "NSI
d 100 per
obability r cent of t no safe per cent
atements
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İŞ BANK YAPI VE İKTİSAT VAKIF G ALARKO ENKA HO KOÇ HO ANADOL ANADOL MARET PINAR SU AYGAZ BRİSA ECZACIB PETKİM ÇELİK H EREĞLİ SARKUY ARÇELİK MAKİNA T.DEMİR ÇİMSA İZOCAM
Academy of S
Stock
KASI (C)
KREDİ BANK
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GMYO
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LU SİGORTA
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al Sciences Jou
NSI ECorrect
ount 43 % 60.56
ount 46 % 64.79
ount 42 % 59.15
ount 39 % 57.35
ount 43 % 60.56
ount 56 % 72.73
ount 41 % 56.94
ount 39 % 54.17
ount 45 % 65.22
ount 47 % 65.28
ount 50 % 69.44
ount 45 % 62.50
ount 44 % 62.86
ount 49 % 69.01
ount 44 % 61.11
ount 46 % 63.89
ount 52 % 72.22
ount 51 % 70.83
ount 45 % 62.50
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ournal
Interval Estimatio
Correct
67 94.37
67 94.37
66 92.96
64 94.12
66 92.96
76 98.70
69 95.83
51 70.83
67 97.10
71 98.61
71 98.61
70 97.22
66 94.29
71 100.00
70 97.22
72 100.00
70 97.22
68 94.44
68 94.44
66 91.67
71 98.61
71 98.61
71 98.61
n NSI E =
2015, Vo
= NSI EU = NSIEO
13 18.31
17 23.94
16 22.54
8 11.76
18 25.35
12 15.58
17 23.61
45 62.50
13 18.84
17 23.61
5 6.94 11
15.28 22
31.43 15
21.13 14
19.44 8
11.11 13
18.06 12
16.67 19
26.39 15
20.83 8
11.11 14
19.44 9
12.50
olume: 1
I NSI E = NSI EU
= NSI EO Correct
11 84.62
15 88.24
14 87.50
6 75.00
16 88.89
11 91.67
14 82.35
37 82.22
8 61.54
16 94.12
4 80.00
10 90.91
18 81.82
15 100.00
14 100.00
8 100.00
12 92.31
12 100.00
16 84.21
11 73.33
7 87.50
13 92.86
8 88.89
17
NSI PU =-1
NSI PO=+1 NSI P
Betwixt
43 60.56
35 49.30
37 52.11
48 70.59
37 52.11
53 68.83
38 52.78
7 9.72 39
56.52 34
47.22 60
83.33 38
52.78 36
51.43 56
78.87 43
59.72 49
68.06 42
58.33 37
51.39 42
58.33 44
61.11 47
65.28 43
59.72 41
56.94
-
18
TRAKYA AKAL TE KORDSA YÜNSA GENTAŞ KARTON HÜRRİYE ALCATE ASELSAN
An E
A CAM
EKSTİL
A SABANCI DU
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ET GZT.
EL TELETAŞ
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Early Warning
Amoin
Amoin
UPONT Amoin
Amoin
Amoin
Amoin
Amoin
Amoin
Amoin Ta
g Model with
ount 40 % 55.56
ount 44 % 61.11
ount 54 % 75.00
ount 42 % 58.33
ount 51 % 70.83
ount 40 % 55.56
ount 47 % 65.28
ount 50 % 69.44
ount 46 % 63.89 able-5: Poin
Technical Ind
68 94.44
70 97.22
69 95.83
70 97.22
72 100.00
70 97.22
72 100.00
70 97.22
71 98.61
nt and inter
dicators: The C
rval prognos
Case of ISE (I
18 25.00
13 18.06
18 25.00
9 12.50
15 20.83
4 5.56
8 11.11
21 29.17
15 20.83
ses
Istanbul Stock
16 88.89
12 92.31
17 94.44
8 88.89
15 100.00
3 75.00
8 100.00
19 90.48
15 100.00
k Exchange)
33 45.83
40 55.56
37 51.39
40 55.56
43 59.72
53 73.61
49 68.06
39 54.17
42 58.33
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ACHELIS http://wwwALDRICH Probit ModBACKHAUBACKUS, Economic RBAUER Rianalysis & pBELARMINEfficiency EFinancial InCAMPBELeconometricCARMAN tactics and aCHIRISTOVolatility FInstitutions COLBY RoMarket IndiDAGANZOFOCARDI,Assoc. FRECKA TAproach toBusiness 35FRONE R. Variables; PFULLER RSecurity AnGILCHRISand FinanceGOURIEROCambridge GRAY CheFinance, DeGREENE, WIMKB (200JOHNSONJOSEPH EPredict and KALLUNKProportionaFinancial-EKEITH P.KStocks; Fin
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dels; Sage UUS Klaus (2David (199
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advanced anOFFERSEN Forecasting
Center. obert W. anicators; Dow
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Pace UniverRussell J. , Fnalysis; McGT Simon ane; NBER WOUX ChrisUniversity
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01). http://w, Norman L
E., MURPHOptimize I
KI Juha-Pekality of FinEconomics 6K., JONHSancial Anal
al Sciences Jou
REB. (200
/free/taaz/.nd NELSON
University Pa2000). Mult98). Discre
Working papnd DAHLQUce; Wiley. so-Diaz and
with Stock PCenter. , LO Andr
cial markets97). Quantnalytical tecPeter F. anfor Financia
nd MEYERSw Jones-Irw(1991). Lognd JONAS,
and LEE Chg and Forec
1997). Regrsity Resear
FARRELL JGraw Hill.nd HIMME
Working Paptian (2000)Press. LINN J.F. , Sep. (2000). Ec
www.imkb.gLloyd (1997HY Jr. (199
nvestment Okka, TEPPancial Rati
6(6). ON GL. anlyst Journal,
ournal
EFERENC01). Tech
N Forrest Dapers No: 0tivariate Anete-time moper series / 6UIST Julie
d FERNANPerformanc
rew W. ands; Princeton titative invechniques; Gnd FRANCal Risk Man
S Thomas Awin. gistics syste, Caroline
heng F. (19casting Fina
gression Morch MethodJames L. an
ELBERG Chper No. W66). Econome
(1988). Im
conometric gov.tr/endek
7). Discrete 94). StockOutcomes, O Martikai
ios: Implica
nd SMITH, Feb.
CES hnical An
D. (1985). 07-045. nalysemethoodels of bon6736. R. (1999).
NDO Gascoe in Bankin
d MACKINUniv. Press
esting for tGlenlake Pub
IS X. Diebnagement?
A. (1988).
ems analysi(1997). M
83). A Seeancial Ratio
odels for Dids Forum. nd WODER
harles (199652. etrics of Qu
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