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Citation

Goodacre A & Kohn-Speyer T (2001) CRISMA revisited. Applied Financial Economics, 11 (2), pp. 221-230. http://www.scopus.com/inward/record.url?partnerID=yv4JPVwI&eid=2-s2.0-0035080610&md5=0b6cdf0b3a008edbfba09545faf67aab; https://doi.org/10.1080/09603100010022475

Abstract
The CRISMA multiple component trading system (Pruitt and White, Journal of Portfolio Management, 14, 55-8, 1988) seeks to identify equity trades by using jointly the three technical filters of the relationship between 50 day and 200 day moving averages, relative strength and cumulative volume. The current study re-examines the CRISMA system using US data over the period 1988–1996. Overall, trades identified by the system were profitable, on average, but only prior to any adjustment for market movements and risk; after adjustment, they ceased to be so even with an assumption of zero transaction costs. Performance of the system was not stable over time and trades on larger companies fared better than small. Further investigation of the multi component nature of CRISMA revealed that it is, in large part, a moving average trading rule. In terms of the number of trades identified, the effect of the cumulative volume and relative strength components is relatively minor and the contribution of these two filters to observed returns is negative. Overall, the current study finds little support for the CRISMA trading system once market movements, risk and transaction costs are taken into account. The results are consistent with market efficiency.

Keywords
trading rules; technical analysis; market efficiency; CRISMA

Journal
Applied Financial Economics: Volume 11, Issue 2