Quantitative Monographs "Technical indicators across Asian markets" Wang

Research evidence excerpt

Quantitative Monographs "Technical indicators across Asian markets" Wang

d gross long-short return of 27% (Figure 1Top3technicalindicatorsbymarket,groslong-shortreturns). Taiwan Analyst

exhibits the strongest reversal performance at 24%, while India also delivers strong paul-j.winter@ubs.com

+61-2-9324 2080reversal and intraday alpha of around 19% and 17%, respectively (Figure 16Besttechnicalindicatorsbycategorypermarket,weklyrebalancedgroslong-shortreturns). Japan and

Hong Kong generally display lower factor returns. Will Stephens

Analyst

Longer-horizon factors remain more resilient after costs will.stephens@ubs.com

+852-3712 3892

Once estimated transaction costs (Figure 23EquitytradingtransactioncostsacrosAsianmarkets) and turnover are incorporated,

implementation feasibility becomes a critical differentiator across markets. To better Abhilash Chowdary Bobbur, PhD

Strategistreflect real-world trading constraints, we reduce the rebalancing frequency from weekly

abhilash-chowdary.bobbur@ubs.com

to monthly and evaluate after-cost performance. Taiwan becomes the strongest market +91-22-6155 6042

after costs, with top factors still delivering around 15% annualised returns (Figure 24Top3technicalindicatorsbymarket,monthlyrebalancedlong-shortreturnsaftercost),

driven primarily by longer-horizon reversal indicators such as MACD and LL. By contrast, Anita Mansbridge, FIAA

AnalystKorea's strongest gross-return signals rely more heavily on short-horizon intraday

anita.mansbridge@ubs.com

factors, resulting in greater alpha erosion after costs. +852-2971 7302

Figure 1: Top 3 technical indicators by market, gross long-short returns Christine Vargas

christine.vargas@ubs.com

s Top

+44-20-7568 2409

urn in dic James Cameron

mar ket tec ato Analyst ret , g james-a.cameron@ubs.com