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Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market

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  • Marco Bee
  • Amedeo Gazzini

Abstract

The aim of this paper consists in testing the profitability of simple technical trading rules in the Italian stock market. By means of a recently developed bootstrap methodology we assess whether technical rules based on moving averages are capable of producing excess returns with respect to the Buy-and-Hold strategy. We find that in most cases the rules are profitable and the excess return is statistically significant. However, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.

Suggested Citation

  • Marco Bee & Amedeo Gazzini, 2004. "Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market," Alea Tech Reports 018, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:018
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