Anderson, John; Faff, Robert - In: Accounting Research Journal 18 (2005) September, pp. 83-92
In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T-Bonds, COMEX Gold and Corn using daily data over the period...
