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Trading a Portfolio of Commodity Futures Using a 10-Day Channel Strategy

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  • Elam, Emmett
  • Vaught, Dan

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  • Elam, Emmett & Vaught, Dan, 1987. "Trading a Portfolio of Commodity Futures Using a 10-Day Channel Strategy," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 269965, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea87:269965
    DOI: 10.22004/ag.econ.269965
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    References listed on IDEAS

    as
    1. Salih N. Neftci & Andrew J. Policano, 1984. "Can chartists outperform the market? market efficiency tests for “technical analysis”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 465-478, December.
    2. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, May.
    3. Scott H. Irwin & B. Wade Brorsen, 1985. "Public futures funds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 463-485, September.
    4. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    5. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    6. Marcus, Alan J, 1984. "Efficient Asset Portfolios and the Theory of Normal Backwardation: A Comment," Journal of Political Economy, University of Chicago Press, vol. 92(1), pages 162-164, February.
    7. Beja, Avraham & Goldman, M Barry, 1980. "On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
    8. Billy P. Helms & Fred R. Kaen & Robert E. Rosenman, 1984. "Memory in commodity futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 4(4), pages 559-567, December.
    9. Jennefer Baxter & Thomas E. Conine Jr. & Maurry Tamarkin, 1985. "On commodity market risk premiums: Additional evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 121-125, March.
    10. David H. Goldenberg, 1986. "Sample path properties of futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(1), pages 127-140, March.
    11. J. Austin Murphy, 1986. "Futures fund performance: A test of the effectiveness of technical analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 175-185, June.
    12. Ronald W. Cornew, 1986. "Note on initial margin to net asset value: Average values for the commodity pool industry," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(3), pages 495-501, September.
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