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A reality check on technical trading rule profits in the U.S. futures markets

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  • Cheol‐Ho Park
  • Scott H. Irwin

Abstract

This article investigates the profitability of technical trading rules in U.S. futures markets during the years 1985–2004. Statistical significance of performance across the trading rules is evaluated using White's Bootstrap Reality Check and Hansen's Superior Predictive Ability tests, which can directly measure the effect of data snooping by testing the performance of the best rule in the context of the full universe of technical trading rules. Results show that the best rules generate statistically significant economic profits for only two of 17 futures markets after correcting for data snooping biases. This evidence suggests that technical trading rules generally have not been profitable in the U.S. futures markets. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:633–659, 2010

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  • Cheol‐Ho Park & Scott H. Irwin, 2010. "A reality check on technical trading rule profits in the U.S. futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(7), pages 633-659, July.
    • Handle: RePEc:wly:jfutmk:v:30:y:2010:i:7:p:633-659
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    5. Chiang, Mi-Hsiu & Chiu, Hsin-Yu & Kuo, Wei-Yu, 2021. "Predictive ability of similarity-based futures trading strategies," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
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    9. Taylor, Mark & Hsu, Po-Hsuan, 2014. "Forty Years, Thirty Currencies and 21,000 Trading Rules: A Large-scale, Data-Snooping Robust Analysis of Technical Trading in t," CEPR Discussion Papers 10018, C.E.P.R. Discussion Papers.
    10. Shynkevich, Andrei, 2016. "Predictability in bond returns using technical trading rules," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 55-69.
    11. Yamani, Ehab, 2021. "Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 74-89.
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    20. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.
    21. Xiaojie Xu & Yun Zhang, 2022. "Commodity price forecasting via neural networks for coffee, corn, cotton, oats, soybeans, soybean oil, sugar, and wheat," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 29(3), pages 169-181, July.
    22. Ikhlaas Gurrib & Firuz Kamalov & Olga Starkova & Adham Makki & Anita Mirchandani & Namrata Gupta, 2023. "Performance of Equity Investments in Sustainable Environmental Markets," Sustainability, MDPI, vol. 15(9), pages 1-28, May.

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