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Brunner, Fabian - 2020

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Dynamic trading strategies and portfolio choice

Bansal, Ravi (contributor); Dahlquist, Magnus (contributor); … - 2004

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Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009

Persistent link: https://www.econbiz.de/10003936746

Technical trading revisited : false discoveries, persistence tests, and transaction costs

Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009

We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...