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Profitability of Trading Rules in Futures Markets


Author Info

  • John Anderson
  • Robert Faff


In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T-Bonds, COMEX Gold and Corn using daily data over the period 1990 to 1998. Overwhelmingly, we find that the trading rules are unable to produce (gross or net) profits at any statistical level. While positive gross and net profits were available in four of the five markets, the profits were neither economically or statistically significant

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Bibliographic Info

Article provided by Emerald Group Publishing in its journal Accounting Research Journal.

Volume (Year): 18 (2005)
Issue (Month): 2 (September)
Pages: 83-92

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Handle: RePEc:eme:arjpps:v:18:y:2005:i:2:p:83-92

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Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK

Related research

Keywords: Futures Markets; Technical analysis; Trading Rules;


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  1. A Abhyankar & D Ghosh & E Levin & R J Limmack, 1995. "Bid-Ask Spreads, Trading Volume and Volatility: Intraday Evidence from the London Stock Exchange," Working Papers Series 95/11, University of Stirling, Division of Economics.
  2. Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 105-16, Supplemen.
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