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Evaluating the predictive power of intraday technical trading in China's crude oil market

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  • Xiaoye Jin

Abstract

This paper evaluates the predictive power of intraday technical trading in China's crude oil market. Even considering different subsample periods, data frequencies and frequencies of rebalancing portfolio of trading rules, an investor is unlikely to select trading rules with persistent out‐of‐sample performance in advance while taking into account data snooping bias and transaction costs. This indicates that the predictive power of intraday technical trading in China's crude oil market is illusory. Overall, our results seriously call into question the predictive power of technical trading in crude oil markets has been gradually shifting from daily data to intraday data.

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  • Xiaoye Jin, 2022. "Evaluating the predictive power of intraday technical trading in China's crude oil market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(7), pages 1416-1432, November.
    • Handle: RePEc:wly:jforec:v:41:y:2022:i:7:p:1416-1432
    DOI: 10.1002/for.2873
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