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The Profitability Of Technical Trading Rules In Us Futures Markets: A Data Snooping Free Test

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Author Info
Park, Cheol-Ho
Irwin, Scott H.

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Abstract

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 the subsequent period.

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Paper 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.

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Date of creation: 2004
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Handle: RePEc:ags:ncrfou:19011

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Web page: http://www.agebb.missouri.edu/ncrext/ncr134/

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Keywords: Marketing;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Lui, Yu-Hon & Mole, David, 1998. "The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 535-545, June. [Downloadable!] (restricted)
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  3. Bong-Chan, Kho, 1996. "Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets," Journal of Financial Economics, Elsevier, vol. 41(2), pages 249-290, June. [Downloadable!] (restricted)
  4. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2003. "Forecast evaluation with shared data sets," International Journal of Forecasting, Elsevier, vol. 19(2), pages 217-227. [Downloadable!] (restricted)
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  5. Lukac, Louis P & Brorsen, B Wade & Irwin, Scott H, 1988. "A Test of Futures Market Disequilibrium Using Twelve Different Technical Trading Systems," Applied Economics, Taylor and Francis Journals, vol. 20(5), pages 623-39, May.
  6. Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October. [Downloadable!] (restricted)
  7. Thompson, Sarahelen & Eales, James S. & Seibold, David, 1993. "Comparison Of Liquidity Costs Between The Kansas City And Chicago Wheat Futures Contracts," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 18(02), December. [Downloadable!]
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  11. Park, Cheol-Ho & Irwin, Scott H., 2004. "The Profitability of Technical Analysis: A Review," AgMAS Project Research Reports 37487, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics. [Downloadable!]
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  14. Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176. [Downloadable!] (restricted)
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  16. Leuthold, Raymond M, 1972. "Random Walk and Price Trends: The Live Cattle Futures Market," Journal of Finance, American Finance Association, vol. 27(4), pages 879-89, September. [Downloadable!] (restricted)
  17. Olson, Dennis, 2004. "Have trading rule profits in the currency markets declined over time?," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 85-105, January. [Downloadable!] (restricted)
  18. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June. [Downloadable!] (restricted)
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  20. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
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  21. Szakmary, Andrew C. & Mathur, Ike, 1997. "Central bank intervention and trading rule profits in foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 16(4), pages 513-535, August. [Downloadable!] (restricted)
  22. Lukac, Louis P & Brorsen, B Wade, 1990. "A Comprehensive Test of Futures Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 25(4), pages 593-622, November.
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  24. Schroeder, Ted C. & Parcell, Joseph L. & Kastens, Terry L. & Dhuyvetter, Kevin C., 1998. "Perceptions Of Marketing Strategies: Producers Versus Extension Economists," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(01), July. [Downloadable!]
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  26. Brorsen, B. Wade & Anderson, Kim B., 1999. "Agricultural Economics Research And Extension Marketing Programs: How Well Are They Integrated?," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 17(2). [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Urcola, Hernan A. & Irwin, Scott H., 2006. "Has the Performance of the Hog Options Market Changed?," 2006 Annual meeting, July 23-26, Long Beach, CA 21479, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
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