The Profitability of Technical Trading Rules in Us Futures Markets: A Data Snooping Free Test
66 Pages Posted: 17 May 2005 Last revised: 27 Jun 2008
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.
Keywords: technical analysis, data snooping, futures markets, replication
JEL Classification: G13, G14, G15
Suggested Citation: Suggested Citation