Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30
This paper investigates the predictive ability of various simple technical trading rules by analysing daily data on the London Stock Exchange FT30 index for the period 1935-94. Assessing the statistical significance of the rules via AR-ARCH models and bootstrap techniques, it is found that the trading rules worked, in the sense of producing a return greater than a buy-and-hold strategy, for most of the sample period, at least up to the early 1980s, i.e. when the market was effectively driftless. Since then, however, the buy-and-hold strategy has clearly dominated. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.
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Volume (Year): 2 (1997)
Issue (Month): 4 (October)
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