DUVINAGE, MATTHIEU; MAZZA, PAOLO; PETITJEAN, MIKAEL - In: Quantitative Finance 13 (2013) 7, pp. 1059-1070
<title>Abstract</title> We develop market timing strategies and trading systems to test the intra-day predictive power of Japanese candlesticks at the 5-minute interval on the 30 constituents of the DJIA index. Around a third of the candlestick rules outperform the buy-and-hold strategy at the conservative...