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

12 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)128-139
頁數12
期刊Decision Support Systems
50
發行號1
DOIs
出版狀態Published - 2010 十二月 1

All Science Journal Classification (ASJC) codes

  • Management Information Systems
  • Information Systems
  • Developmental and Educational Psychology
  • Arts and Humanities (miscellaneous)
  • Information Systems and Management

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