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On the Bound of Cumulative Return in Trading Series and the Verification Using Technical Trading Rules

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  • Can Yang
  • Junjie Zhai
  • Helong Li

Abstract

Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of conventional technical trading rules. Furthermore, with the help of bootstrap methodology, we investigate the profitability of technical trading rules on different international stock markets, including developed markets and emerging markets. At last, the results show that the technical trading rules are hard to beat the market, and even less profitable than the random trading strategy.

Suggested Citation

  • Can Yang & Junjie Zhai & Helong Li, 2020. "On the Bound of Cumulative Return in Trading Series and the Verification Using Technical Trading Rules," Papers 2005.13974, arXiv.org.
    • Handle: RePEc:arx:papers:2005.13974
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    File URL: http://arxiv.org/pdf/2005.13974
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    Cited by:

    1. Ivan Letteri & Giuseppe Della Penna & Giovanni De Gasperis & Abeer Dyoub, 2022. "DNN-ForwardTesting: A New Trading Strategy Validation using Statistical Timeseries Analysis and Deep Neural Networks," Papers 2210.11532, arXiv.org.

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