Griffioen, Gerwin; Boswijk, Peter; Hommes, Cars - Center for Nonlinear Dynamics in Economics and Finance … - 2001
A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1 - 1997:6. We find that 72% of the trading rules generate positive profits, even when correcting for transaction and borrowing...
