Fang, Jiali; Jacobsen, Ben; Qin, Yafeng - In: Review of Financial Economics 23 (2014) 1, pp. 30-45
In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test safeguards against sample selection bias, data mining, hindsight bias, and other usual biases that may affect...