Reduce the risk of stock trading by using technical analysis in iran's stock market

Abstract

One of the basic criteria for evaluating the performance of a stock portfolio is taking into account the return on investment with the rate of their risk. In this research, efficiency of 50 active companies of Tehran Stock Exchangeevaluated by moving average method with their appropriate risk. In measuring mentioned strategic risk, Fama and French three-factor developed model has been used toughlywhich is among the most important models. The results indicate significant effects of excess market efficiency, size of company and the ratio of book value to market value.In other words, the risk premium of price, size and value of market was predicted which with increasing the efficiency of stock in proportion to efficiency of government bonds, market efficiency also increase.And the risk premium of size and value has negative impact on efficiency of stock forecasting. With this observation, this research suggest forming a portfolio with zero cost by purchasing the highest portfolio of book value at market prices (BM) and selling lowest portfolio of book value at market prices (BM) by signals issued by Moving Average.

Keywords: technical analysis, efficiency, risk, moving averages, Fama and French