PT  - JOURNAL ARTICLE
AU  - Terence Tai-Leung Chong
AU  - Ka Wai Leung
AU  - Ho Yin Yuen
TI  - Is the Rate-of-Change Oscillator Profitable?
AID  - 10.3905/joi.2011.20.3.072
DP  - 2011 Aug 31
TA  - The Journal of Investing
PG  - 72--74
VI  - 20
IP  - 3
4099  - https://pm-research.com/content/20/3/72.short
4100  - https://pm-research.com/content/20/3/72.full
AB  - The authors evaluate the profitability of trading rules associated with the rate of change (ROC) oscillator. The ROC is an oscillator indicating the trend of the price of a security. Using the data of 13 major stock market indices, they find that the rule generated by the crossing of ROC and its exponential moving average performs extremely well in the stock markets of greater China.TOPICS: Technical analysis, equity portfolio management, analysis of individual factors/risk premia