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Article: Reexamining the profitability of technical analysis with data snooping checks

TitleReexamining the profitability of technical analysis with data snooping checks
Authors
KeywordsComplex trading strategies
Data snooping
Reality check
SPA test
Technical analysis
Trading rules
Issue Date2005
PublisherOxford University Press. The Journal's web site is located at http://jfec.oxfordjournals.org/
Citation
Journal Of Financial Econometrics, 2005, v. 3 n. 4, p. 606-628 How to Cite?
AbstractIn this article we reexamine the profitability of technical analysis using White's reality check and Hansen's SPA test that correct the data snooping bias. Compared to previous studies, we study a more complete "universes" of trading techniques, including not only simple rules but also complex trading strategies, and we test the profitability of these rules and strategies with four main indices. It is found that significantly profitable simple rules and complex trading strategies do exist in the data from relatively "young" markets (NASDAQ Composite and Russell 2000) but not in the data from relatively "mature" markets [Dow Jones Industrial Average (DJIA) and S&P 500]. Moreover, after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods. It is also found that complex trading strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules. © The Author 2005. Published by Oxford University Press. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/141771
ISSN
2015 Impact Factor: 1.205
2015 SCImago Journal Rankings: 1.314
References

 

DC FieldValueLanguage
dc.contributor.authorHsu, PHen_HK
dc.contributor.authorKuan, CMen_HK
dc.date.accessioned2011-09-27T03:00:42Z-
dc.date.available2011-09-27T03:00:42Z-
dc.date.issued2005en_HK
dc.identifier.citationJournal Of Financial Econometrics, 2005, v. 3 n. 4, p. 606-628en_HK
dc.identifier.issn1479-8409en_HK
dc.identifier.urihttp://hdl.handle.net/10722/141771-
dc.description.abstractIn this article we reexamine the profitability of technical analysis using White's reality check and Hansen's SPA test that correct the data snooping bias. Compared to previous studies, we study a more complete "universes" of trading techniques, including not only simple rules but also complex trading strategies, and we test the profitability of these rules and strategies with four main indices. It is found that significantly profitable simple rules and complex trading strategies do exist in the data from relatively "young" markets (NASDAQ Composite and Russell 2000) but not in the data from relatively "mature" markets [Dow Jones Industrial Average (DJIA) and S&P 500]. Moreover, after taking transaction costs into account, we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods. It is also found that complex trading strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules. © The Author 2005. Published by Oxford University Press. All rights reserved.en_HK
dc.languageengen_US
dc.publisherOxford University Press. The Journal's web site is located at http://jfec.oxfordjournals.org/en_HK
dc.relation.ispartofJournal of Financial Econometricsen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectComplex trading strategiesen_HK
dc.subjectData snoopingen_HK
dc.subjectReality checken_HK
dc.subjectSPA testen_HK
dc.subjectTechnical analysisen_HK
dc.subjectTrading rulesen_HK
dc.titleReexamining the profitability of technical analysis with data snooping checksen_HK
dc.typeArticleen_HK
dc.identifier.emailHsu, PH: paulhsu@hku.hken_HK
dc.identifier.authorityHsu, PH=rp01553en_HK
dc.description.naturepreprinten_US
dc.identifier.doi10.1093/jjfinec/nbi026en_HK
dc.identifier.scopuseid_2-s2.0-26444589741en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-26444589741&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume3en_HK
dc.identifier.issue4en_HK
dc.identifier.spage606en_HK
dc.identifier.epage628en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridHsu, PH=8974031100en_HK
dc.identifier.scopusauthoridKuan, CM=7005281447en_HK
dc.identifier.citeulike322540-

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