June 7, 2021
Honors alumna Makenna Barbara ‘19 has been awarded the 2021 Charles H. Dow Award by the Chartered Market Technician (CMT) Association for her paper, The Efficacy of Modified Momentum Based Technical Indicators on U.S. Equities: A Study of Parabolic SAR.
From the CMT Association:
The author’s paper extends the existing literature on momentum-based trading strategies by investigating the Parabolic Stop and Reverse (PSAR) indicator, designed to determine the direction of an asset’s momentum direction. Identifying indicator drawbacks in sideways markets, the paper introduces modifications designed to reduce false signals. The resulting new indicators are the Support PSAR, which provides signal confirmation, and the Decelerated PSAR, which slows the signal generation during trendless market periods.
When testing the performance of the new strategies versus the S&P 500 and NASDAQ Composite, the author takes into account transaction costs and data mining bias. She then compares the cumulative returns generated by the new trading strategies to a passive Buy and Hold strategy, as well as the original PSAR strategy. The strategies are analyzed over several time periods, using in-sample and out-of-sample tests and accounting for transaction costs. The research is thorough, objective and well documented.
“In my mind, the Dow Award was a great way to get feedback on the progress I had made from a panel of highly distinguished judges,” Barbara said. “Never in my wildest dreams did I expect to win!”
Barbara graduated from TCU as an Honors Laureate with a degree in environmental science and completed a departmental Honors project entitled, Case Study of Urban Heat Islands in Fort Worth, Texas under the guidance of supervising professor Becky Johnson. She earned her Master’s in Banking and Finance from King’s College, London and currently works as an Acquisitions Analyst for MDH Partners supporting both the Southeast and Southwest regions.
The CMT Association is a non-profit, global professional organization of technical analysts and certifies that an individual is competent in the use of technical analysis via the Chartered Market Technician designation.