Czech PX-TR - Derivation of Historical Data for the Performance Index and Analysis of two Trading Strategies

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Authors	REUSE S. SVOBODA Martin
Year of publication	2017
Type	Article in Proceedings
Conference	FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III
MU Faculty or unit	Faculty of Economics and Administration
Citation
Keywords	Price Index; Performance Index; Risk; Return; MACD; Trading Strategy
Description	The Czech PX Index is available as a price index since 1993-09-07, the total return index PX-TR is only available since 2006-03-20. This article uses the methodology published from the Czech stock exchange and derives the PX-TR from 1994-04-05 to 2006-03-17. It is the first time this dataset is published. In addition, two trading strategies are tested. We show that these strategies are more efficient than a simple buy and hold strategy.