The Profitability of Technical Trading Rules in United States Futures Markets
Park, Cheol-Ho
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https://hdl.handle.net/2142/82980
Description
Title
The Profitability of Technical Trading Rules in United States Futures Markets
Author(s)
Park, Cheol-Ho
Issue Date
2005
Doctoral Committee Chair(s)
Irwin, Scott H.
Department of Study
Agricultural and Consumer Economics
Discipline
Agricultural and Consumer Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
The results of the first approach confirm Lukac, Brorsen, and Irwin's successful findings during the 1978--1984 period. The replication results, however, show that substantial technical trading profits during the early period disappeared in the subsequent 1985--2003 period. The results of the second approach indicate that the best rule of 14 technical trading systems generates statistically significant economic profits only for 2 of 17 US futures markets over 1985--2004. This evidence suggests that technical trading rules in general have not been profitable in US futures markets over the last 20 years after correcting for data snooping biases.
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