A reality check on technical trading rule profits in the U.S. futures markets
This article investigates the profitability of technical trading rules in U.S. futures markets during the years 1985–2004. Statistical significance of performance across the trading rules is evaluated using White's Bootstrap Reality Check and Hansen's Superior Predictive Ability tests, which can directly measure the effect of data snooping by testing the performance of the best rule in the context of the full universe of technical trading rules. Results show that the best rules generate statistically significant economic profits for only two of 17 futures markets after correcting for data snooping biases. This evidence suggests that technical trading rules generally have not been profitable in the U.S. futures markets. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:633–659, 2010
Year of publication: |
2010
|
---|---|
Authors: | Cheol‐Ho Park ; Irwin, Scott H. |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 30.2010, 7, p. 633-659
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
THREE ESSAYS ON AGRICULTURAL FUTURES TRADERS
Aulerich, Nicole M., (2011)
-
The Marketing Performance of Illinois and Kansas Wheat Farmers
Dietz, Sarah N., (2008)
-
How Much Can Outlook Forecasts be Improved? An Application to the U.S. Hog Market
Colino, Evelyn V., (2008)
- More ...