Price exhaustion in the Hang Seng Index

The existence of DeMark's price exhaustion pattern in the Hang Seng Index is explored. Price exhaustion does occur in the Hang Seng Index, although its incidence is small compared to the total number of price swings recorded in the Hang Seng Index. The full price exhaustion signal (setup plus countdown) is a rare event in the Hang Seng Index. The most important finding is that trading price exhaustion signals lead to profits in excess over buy and hold strategies and this appears to be both of economic as well as statistical significance. Moreover, several other trading filter rules also appear to outperform a buy and hold strategy.