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Data-Snooping, Technical Trading Rule Performance and the Bootstrap

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Author Info
Sullivan, Ryan
Timmermann, Allan G
White, Halbert

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Abstract

In this paper we utilize White's Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average and determine the effects of data-snooping.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 1976.

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Date of creation: Sep 1998
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Handle: RePEc:cpr:ceprdp:1976

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Related research
Keywords: bootstrap methods; data-snooping; Financial Performance; Technical Trading Rules;

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G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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