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Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market

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  • Anderson, John A.
  • Faff, Robert W.

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  • Anderson, John A. & Faff, Robert W., 2008. "Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 198-217.
    • Handle: RePEc:eee:finana:v:17:y:2008:i:1:p:198-217
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    1. Christopher K. Ma & Jeffrey M. Mercer & Matthew A. Walker, 1992. "Rolling over futures contracts: A note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(2), pages 203-217, April.
    2. Peterson, Paul E. & Leuthold, Raymond M., 1982. "Using Mechanical Trading Systems to Evaluate the Weak Form Efficiency of Futures Markets," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 14(1), pages 147-151, July.
    3. Connolly, Robert A., 1989. "An Examination of the Robustness of the Weekend Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(2), pages 133-169, June.
    4. Peterson, Paul E. & Leuthold, Raymond M., 1982. "Using Mechanical Trading Systems To Evaluate The Weak Form Efficiency Of Futures Markets," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 14(1), pages 1-5, July.
    5. 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.
    6. Boothe, Paul & Longworth, David, 1986. "Foreign exchange market efficiency tests: Implications of recent empirical findings," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 135-152, June.
    7. 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 1731-1764, December.
    8. Sweeney, Richard J, 1986. "Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
    9. Louis P. Lukac & B. Wade Brorsen, 1989. "The usefulness of historical data in selecting parameters for technical trading systems," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(1), pages 55-65, February.
    10. Bilson, John F. O. & Hsieh, David A., 1987. "The profitability of currency speculation," International Journal of Forecasting, Elsevier, vol. 3(1), pages 115-130.
    11. Robert Elliott & Juri Hinz, 2002. "Portfolio Optimization, Hidden Markov Models, And Technical Analysis Of P&F-Charts," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 385-399.
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    Cited by:

    1. Ülkü, Numan & Prodan, Eugeniu, 2013. "Drivers of technical trend-following rules' profitability in world stock markets," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 214-229.
    2. A. Maron & M. Maron, 2019. "Minimizing the Maximum Risk of Currency Conversion for a Company Buying Abroad," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 59-67.
    3. Kim man Lui & Terence T. L. Chong, 2013. "Do Technical Analysts Outperform Novice Traders: Experimental Evidence," Economics Bulletin, AccessEcon, vol. 33(4), pages 3080-3087.

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