| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
A Reality Check on Technical Trading Rule Profits in US Futures Markets
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| Autores: |
Park, Cheol-Ho
Irwin, Scott H.
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| Data: |
2005-11-03
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| Ano: |
2005
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| Palavras-chave: |
Marketing
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| Resumo: |
This paper investigates the profitability of technical trading rules in US futures markets over the 1985-2004 period. To account for data snooping biases, we evaluate statistical significance of performance across technical trading rules using White's Bootstrap Reality Check test and Hansen's Superior Predictive Ability test. These methods directly quantify the effect of data snooping by testing the performance of the best rule in the context of the full universe of technical trading rules. Results show that the best rules generate statistically significant economic profits only for two of 17 futures contracts traded in the US. This evidence indicates that technical trading rules generally have not been profitable in US futures markets after correcting for data snooping biases.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
18835
http://purl.umn.edu/19039
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| Editor: |
AgEcon Search
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| Relação: |
NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2005 Conference, St. Louis, MO, April 18-19, 2005
2005 Conference, St. Louis, MO, April 18-19, 2005
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| Formato: |
41
application/pdf
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