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| Park, Cheol-Ho; Irwin, Scott H.. |
| 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... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/19039 |
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| Park, Cheol-Ho; Irwin, Scott H.. |
| Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period. |
| Tipo: Working or Discussion Paper |
Palavras-chave: Marketing. |
| Ano: 2005 |
URL: http://purl.umn.edu/14771 |
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| Park, Cheol-Ho; Irwin, Scott H.. |
| Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This research tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on new data. Results indicate that for various futures contracts and technical trading systems tested, technical trading profits have gradually declined over time. In general, substantial technical trading profits in the early 1980s are no longer available in... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
| Ano: 2004 |
URL: http://purl.umn.edu/19011 |
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| Park, Cheol-Ho; Irwin, Scott H.. |
| The purpose of this report is to review the evidence on the profitability of technical analysis. To achieve this purpose, the report comprehensively reviews survey, theoretical and empirical studies regarding technical trading strategies. We begin by overviewing survey studies that have directly investigated market participants’ experience and views on technical analysis. The survey literature indicates that technical analysis has been widely used by market participants in futures markets and foreign exchange markets, and that about 30% to 40% of practitioners appear to believe that technical analysis is an important factor in determining price movement at shorter time horizons up to 6 months. Then we provide an overview of theoretical models that include... |
| Tipo: Report |
Palavras-chave: Agricultural Finance. |
| Ano: 2004 |
URL: http://purl.umn.edu/37487 |
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