Profitability of technical analysis in financial and commodity futures markets - A reality check

Meng-Feng Yen, Ying Lin Hsu

研究成果: Article同行評審

16 引文 斯高帕斯(Scopus)


Based on the SPA test (test for superior predictive ability), Sortino and reversed Sortino ratios, we examined the profitability of a universe of 8061 technical trading rules in ten futures markets including five financial and five commodity underlying assets. We tested whether the best performing rule really beats its buy-and-hold benchmark strategy in bullish and bearish markets, respectively, during the in-sample testing period. The best rules' performance relative to the benchmark is also tested during the one-year out-of-sample period for all ten sets of data. A novel set of multi-indicator rules, MFI-RSI, and four popular categories of single-indicator rules, filter rules, moving averages, on-balance volume averages and momentum strategy in volume, were employed to form our universe of trading rules. The results on the SPA test suggest market efficiency in nine of the ten futures markets, while the results on the Sortino and reversed Sortino ratios reveal persistent outperformance of the best 'downside' and 'upside' rules relative to the buy-and-hold benchmark across time in four and three futures markets, respectively.

頁(從 - 到)128-139
期刊Decision Support Systems
出版狀態Published - 2010 12月 1

All Science Journal Classification (ASJC) codes

  • 管理資訊系統
  • 資訊系統
  • 發展與教育心理學
  • 藝術與人文(雜項)
  • 資訊系統與管理


深入研究「Profitability of technical analysis in financial and commodity futures markets - A reality check」主題。共同形成了獨特的指紋。