Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/37105
標題: Profitability of technical analysis in financial and commodity futures markets - A reality check
作者: Yen, S.M.F.
許英麟
Hsu, Y.L.
關鍵字: Technical analysis;Data-snooping bias;SPA test;Sortino ratio;Market;efficiency;foreign-exchange market;momentum strategies;bootstrap;rules
Project: Decision Support Systems
期刊/報告no:: Decision Support Systems, Volume 50, Issue 1, Page(s) 128-139.
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. (C) 2010 Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/11455/37105
ISSN: 0167-9236
DOI: 10.1016/j.dss.2010.07.008
Appears in Collections:統計學研究所

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