The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test Cheol-Ho Park University of Illinois at Urbana-Champaign
نویسنده
چکیده
Numerous empirical studies investigate the profitability of technical trading rules in a wide variety of markets and many find positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study mitigates data snooping problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that technical trading profits have gradually declined over time in 12 futures markets. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period.
منابع مشابه
The Profitability of Technical Analysis: A Review by
The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly investigated market participants’ experience and views on technical analysis. The survey literature ...
متن کاملForecasting Corn Futures Volatility in the Presence of Long Memory, Seasonality and Structural Change
Xiaoyang Wang ([email protected]) is a Graduate Research Assistant with the Office of Futures and Options Research in the Department of Agricultural and Consumer Economics in the University of Illinois at Urbana-Champaign. Philip Garcia is the T.A. Hieronymus Distinguished Chair in Futures Markets and Director, Office of Futures and Options Research in the University of Illinois at UrbanaCha...
متن کاملTechnical Analysis in Commodity Markets: Risk, Returns, and Value by
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex ante optimal technical trading strategies are identified. Because they are mechanically generated from simple arithmetic operators, they are fr...
متن کاملTechnical Analysis in Commodity Markets: Risk, Returns, and Value
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets. Much prior research into technical analysis suffered from data-snooping biases. Using genetic programming, ex ante optimal technical trading strategies are identified. Because they are mechanically generated from simple arithmetic operators, they are fr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005