The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test
AbstractNumerous 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 the subsequent period.
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Bibliographic InfoPaper provided by NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2004 Conference, April 19-20, 2004, St. Louis, Missouri with number 19011.
Date of creation: 2004
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Other versions of this item:
- Park, Cheol-Ho & Irwin, Scott H., 2005. "The Profitability of Technical Trading Rules in US Futures Markets: A Data Snooping Free Test," AgMAS Project Research Reports 14771, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
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