Abstract
AbstractThis article investigates the profitability of technical trading rules in U.S. futures markets during the years 1985–2004. Statistical significance of performance across the trading rules is evaluated using White's Bootstrap Reality Check and Hansen's Superior Predictive Ability tests, which can directly measure 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 for only two of 17 futures markets after correcting for data snooping biases. This evidence suggests that technical trading rules generally have not been profitable in the U.S. futures markets. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:633–659, 2010
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
