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Technical Trading Rules Empirical Evidence From Future Data
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Book Synopsis Technical Trading Rules Empirical Evidence from Future Data by : Philipp Jan Siegert
Download or read book Technical Trading Rules Empirical Evidence from Future Data written by Philipp Jan Siegert and published by GRIN Verlag. This book was released on 2005-10-27 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2005 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, Sophia Antipolis Campus (France); SKEMA Business School (Global Finance Chair), language: English, abstract: Most banks and the recently upcoming hedge fund industry rely to a different extent on technical trading rules and technical analysis. The fact that these technical trading rules yield superior returns in practice raises several questions that will be examined in the thesis. First, one of the most crucial questions is in which assets technical trading rules perform extraordinarily well. This analysis is based on a risk-return approach with an assessment of the negative standard deviation of each asset as a risk indicator. Second, the statistical significance of technical trading is examined by using a simulation method known as bootstrap. Third, null models are simulated to answer the question to what extent autoregressive models and GARCH models are able to capture the dependencies in the time series. Finally, a rule optimizer is used to assess if any rule parameters yield superior returns over a wide range of assets. We find that under a risk-return perspective trading rules look very attractive as most rules are able to significantly reduce the negative standard deviation compared to a buy-and-hold strategy. However, not all rules are able to outperform a simple buy-and-hold strategy in terms of absolute return. Statistical significance is generally weak and only some rules can be qualified as highly statistically significant. We do not find much evidence that autoregressive and GARCH null models perform well in capturing the dependencies that lead to superior returns of technical trading rules. With respect to trading rule parameters we find that shorter rules generally perform better when trading costs are not considered and that currencies benefited from a larger standard deviation trading band.
Book Synopsis The Profitability of Technical Trading Rules in Us Futures Markets by : Cheol-Ho Park
Download or read book The Profitability of Technical Trading Rules in Us Futures Markets written by Cheol-Ho Park and published by . This book was released on 2008 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period.
Book Synopsis The Profitability of Technical Trading Rules in United States Futures Markets by :
Download or read book The Profitability of Technical Trading Rules in United States Futures Markets written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Evidence-Based Technical Analysis by : David Aronson
Download or read book Evidence-Based Technical Analysis written by David Aronson and published by John Wiley & Sons. This book was released on 2011-07-11 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidence-Based Technical Analysis examines how you can apply the scientific method, and recently developed statistical tests, to determine the true effectiveness of technical trading signals. Throughout the book, expert David Aronson provides you with comprehensive coverage of this new methodology, which is specifically designed for evaluating the performance of rules/signals that are discovered by data mining.
Book Synopsis Technical Analysis of the Financial Markets by : John J. Murphy
Download or read book Technical Analysis of the Financial Markets written by John J. Murphy and published by Penguin. This book was released on 1999-01-01 with total page 579 pages. Available in PDF, EPUB and Kindle. Book excerpt: John J. Murphy has updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.
Book Synopsis Trend Following by : Michael W. Covel
Download or read book Trend Following written by Michael W. Covel and published by FT Press. This book was released on 2009 with total page 467 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover the investment strategy that works in any market. The one strategy that works in up and down markets, good times and bad.
Book Synopsis Charting Technical Trading Rules and the Lottery of Technical Analysis by : Alexandre Repkine
Download or read book Charting Technical Trading Rules and the Lottery of Technical Analysis written by Alexandre Repkine and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use trend-following, trend continuation and trend reversal pattern recognition techniques to apply technical charting rules to trading seven major currency pairs for the period of 1999 through early 2007. Our results suggest that the persistent popularity of technical analysis among practicing traders may be the result of a lottery wherein most of the participants end up with zero profits. However, the rest of the participants are much more likely to end up winning rather than losing. In this way, the popularity of technical trading rules may co-exist with the validity of market efficiency hypothesis.
Book Synopsis Data-snooping, Technical Trading Rule Performance and the Bootstrap by : Ryan Sullivan
Download or read book Data-snooping, Technical Trading Rule Performance and the Bootstrap written by Ryan Sullivan and published by . This book was released on 1998 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Technical Trading-Rule Profitability, Data Snooping, and Reality Check by : Min Qi
Download or read book Technical Trading-Rule Profitability, Data Snooping, and Reality Check written by Min Qi and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not change the basic conclusions for the full sample. A sub-sample analysis indicates that the data-snooping problem is more serious in the second half of the sample. Profitability becomes much weaker in the more recent period, suggesting that the foreign exchange market becomes more efficient over time. Evidence from cross exchange rates confirms the basic findings.
Book Synopsis The Profitability of Technical Analysis by : Cheol-Ho Park
Download or read book The Profitability of Technical Analysis written by Cheol-Ho Park and published by . This book was released on 2004 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this report is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, quot;earlyquot; and quot;modernquot; studies, according to the characteristics of testing procedures. Early studies indicated that technical trading strategies were profitable in foreign exchange markets and futures markets, but not in stock markets before the 1980s. Modern studies indicated that technical trading strategies consistently generated economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative results. Ten studies indicated mixed results. Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures, e.g., data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.
Book Synopsis Technical Analysis: The Scientific Approach by : Michael Hass
Download or read book Technical Analysis: The Scientific Approach written by Michael Hass and published by BoD – Books on Demand. This book was released on 2020-06-12 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a detailed and data-based book showing you tried and tested methods that actually work to allow you to grow your investment portfolio, in good times and in bad. This book is not just about anecdotal ideas that occasionally work. The methods contained within this book have been tested over years of data and the results are shown. The book also contains the recipe for making that kind of data-based analysis yourself. No more costly guesswork... This is the last book on Technical Analysis you'll ever need. "Michael has shown empirical proof of the value of patterns in the markets. Anyone who has ever used an Excel sheet will definitely love this book, as well as for other reasons. This book is easy to endorse, and we should thank him for bringing this research to our attention." - Larry Pesavento, Trade What You See, Tucson, Arizona "To really understand the financial markets, it is my view that Technical Analysis has to be included in the picture. It has always been an important tool for me." - Lars Tvede, Zug, Switzerland "Super exciting reading if you are interested in investing, both for the beginner as well as for the experienced investor. The scientific approach to the development of an investment system is very fascinating and you feel a commitment beyond the usual by the author. No doubt that when a system has to be calculated with all possible variables in order to see the consequences of them, we have here to do with something that is most thoroughly tested. This applies to both the testing of movements and the choice of the asset to be invested in. Furthermore, the author's review of his emotions in connection with his ongoing development with the investments in the market is very relevant as it is often the biggest enemy of the investor. Further, the adding on methodology described in chapter 7 alone pays for this book" - Peter Henriksen, Mijas-Costa, Spain This book is not like any other books about Technical Analysis and about making money trading. Other books tend to feature more theories than data, are more anecdotal than fact-based and they often leave the readers with more questions than answers. In this book, several methods of trading are tested on real data over months and years, so you can really see what works and what doesn't work is not only performed on historical data. The methods are fully explained, and shown in detail. After reading this book, you will be able to test your own ideas.
Book Synopsis Technical Trading Rule Profitability and Foreign Exchange Intervention by : Blake LeBaron
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake LeBaron and published by . This book was released on 2010 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Book Synopsis Tests of Technical Trading Rule Profitability in Australian Financial Markets by : Jung-Soo Park
Download or read book Tests of Technical Trading Rule Profitability in Australian Financial Markets written by Jung-Soo Park and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded in the Australian financial markets. Size distortions due to data-snooping are avoided by using the Reality Check test of White (2000) and the Superior Predictive Ability test of Hansen (2005). We find no evidence that technical trading rules provide trading profits in excess of those available from a simple buy-and-hold strategy.
Book Synopsis Performance of Technical Trading Rules by : Ioannis Psaradellis
Download or read book Performance of Technical Trading Rules written by Ioannis Psaradellis and published by . This book was released on 2019 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano and Wolf (2007) and Bajgrowicz and Scaillet (2012) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.
Book Synopsis On the Profitability of Technical Trading by : Toby Daniel Watson
Download or read book On the Profitability of Technical Trading written by Toby Daniel Watson and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The sole use of price and related summary statistics in a technical trading strategy is an anathema to weak-form market efficiency. In practice, however, traders actively use technical analysis to make investment decisions which makes this an important, but often neglected, area for study. This thesis includes four empirical chapters, which provide important evidence on the profitability of technical trading. The results from the detailed analysis undertaken in this thesis have broad relevance to both academics and those in the investment community. Existing research has been predominantly confined to evaluating basic technical trading rules, such as moving averages. Crucially, this ignores chart patterns. Widely employed by practitioners, such patterns form a vital part of technical analysis. As the most important price pattern, the head and shoulders pattern is subjected to detailed and thorough examination in this thesis. A significant contribution is made by evaluating formations recognised and used by traders, in sharp contrast to limited existing studies. Furthermore, a new method is developed to establish how quickly profits from a head and shoulders strategy decay, which has important implications for traders. Existing research has identified both reversal and relative strength effects in financial asset returns. A key separator between these two findings is the formation and holding time over which portfolios of winners and losers are evaluated. Motivated by this, a very large sample of ultra high-frequency data is used to investigate intraday momentum and reversal effects. As well as being an important contribution to research in this field, the results are, once again, of relevance to practitioners. The need for further research into technical analysis is clearly demonstrated by point and figure charting. Whilst traders have made consistent use of the technique for around a century, the amount of existing research is extremely small. Point and figure has attractive data filtering properties, clear trading rules and is particularly suited to intraday technical analysis. Again, using a very large sample of high-frequency data, a detailed evaluation of the profitability of a point and figure trading strategy is undertaken.
Book Synopsis Technical Trading Rule Profitability and Foreign Exchange Intervention by : Blake Dean LeBaron
Download or read book Technical Trading Rule Profitability and Foreign Exchange Intervention written by Blake Dean LeBaron and published by . This book was released on 1996 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced
Book Synopsis Profits from Technical Trading Rules by : Mark Ready
Download or read book Profits from Technical Trading Rules written by Mark Ready and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I examine the predictability of daily returns for the Dow Jones Industrial Average by comparing the technical trading rules developed by Allen and Karjalainen (1999) with moving average rules studied by Brock, Lakonishok, and LeBaron (1992). I argue that this comparison lends support to the hypothesis that the apparent success (after transaction costs) of the Brock et al. (1992) moving average rules is a spurious result of data snooping. If it were reliable, investors would like to use technical analysis to improve their portfolio returns, and firms would like to use it to improve the timing of their security offerings. My results serve as a reminder that patterns in historical data, even though they appear very consistent, need not persist in the future.
