Profitability of Trading Rules in Futures Markets
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
Volume (Year): 18 (2005)
Issue (Month): 2 (September)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=arj Email:
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.:
- Geoffrey Poitras, 1987. "“Golden turtle tracks”: In search of unexploited profits in gold spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(4), pages 397-412, 08.
- 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.
- A. Abhyankar & D. Ghosh & E. Levin & R.J. Limmack, 1997. "Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 343-362.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eme:arjpps:v:18:y:2005:i:2:p:83-92. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister)
If references are entirely missing, you can add them using this form.