Schulmeister, Stephan - In: Review of Financial Economics 18 (2009) 4, pp. 190-201
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However,...