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A reality check on technical trading rule profits in the U.S. futures markets
16 references·9 citing·46 second hopsampled
A reality check on technical trading rule profits in the U.S. futures markets (2009)A reality check on technical trading rule…WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)WHAT DO WE KNOW ABOUT THE PRO…The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The obstinate passion of Fore…A Test for Superior Predictive Ability (2005)A Test for Superior Predictiv…The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…Efficient market hypothesis and forecasting (2003)Efficient market hypothesis a…Currency traders and exchange rate dynamics: a survey of the US market (2001)Currency traders and exchange…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)Data‐Snooping, Technical Trad…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach (1993)The significance of technical…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…The Survival of Noise Traders in Financial Markets (1991)The Survival of Noise Traders…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Data-Snooping Biases in Tests…Beating the Foreign Exchange Market (1986)Beating the Foreign Exchange …Impact of bitcoin futures on the informational efficiency of bitcoin spot market (2020)Impact of bitcoin futures on …Performance of the Average Directional Index as a market timing tool for the most actively traded USD based currency pairs (2018)Performance of the Average Di…Portfolio investment: Are commodities useful? (2017)Portfolio investment: Are com…Do trend following strategies work in Chinese futures markets? (2017)Do trend following strategies…Predictability in bond returns using technical trading rules (2016)Predictability in bond return…Are there exploitable trends in commodity futures prices? (2016)Are there exploitable trends …The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market (2013)The Behavior of Bid‐Ask Sprea…Drivers of technical trend-following rules' profitability in world stock markets (2013)Drivers of technical trend-fo…Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P500 (2013)Breaking into the blackbox: T…Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Tests of Conditional Predictive Ability (2006)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Forecasting: theory and practice (2022)The Behavior of Stock-Market Prices (1965)Does the Stock Market Overreact? (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Market underreaction to open market share repurchases (1995)Do Investors Trade Too Much? (1999)Improved Methods for Tests of Long‐Run Abnormal Stock Returns (1999)The use of technical analysis in the foreign exchange market (1992)Market Statistics and Technical Analysis: The Role of Volume (1994)Chapter 24 Agent-based Computational Finance (2006)Currency momentum strategies (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Forecasting Stock Returns (2013)Stock Market Analysis: A Review and Taxonomy of Prediction Techniques (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Asymmetric causality tests with an application (2011)Evaluating multiple classifiers for stock price direction prediction (2015)Applications of deep learning in stock market prediction: Recent progress (2021)Trading Volume and Serial Correlation in Stock Returns (1993)Asymptotics for out of sample tests of Granger causality (2006)False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas (2010)Expected stock returns and volatility (1987)An Anatomy of Trading Strategies (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Economic Forces and the Stock Market (1986)Commonality in the determinants of expected stock returns (1996)Common Risk Factors in Currency Markets (2011)Replicating Anomalies (2018)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The impact of institutional trading on stock prices (1992)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)
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References

  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,298 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2003The Efficient Market Hypothesis and Its Critics2,159 cited
  • 2005A Test for Superior Predictive Ability1,227 cited
  • 1990Data-Snooping Biases in Tests of Financial Asset Pricing Models1,121 cited
  • 1999Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap1,024 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 2007WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS?609 cited
  • 1991The Survival of Noise Traders in Financial Markets572 cited
  • 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
  • 2003Efficient market hypothesis and forecasting516 cited
  • 1993The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

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472 cited
  • 1986Beating the Foreign Exchange Market450 cited
  • 2006The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis446 cited
  • Cited by

    • 2013The Behavior of Bid‐Ask Spreads in the Electronically‐Traded Corn Futures Market45 cited
    • 2016Are there exploitable trends in commodity futures prices?43 cited
    • 2013Breaking into the blackbox: Trend following, stop losses and the frequency of trading – The case of the S&P50038 cited
    • 2017Portfolio investment: Are commodities useful?37 cited
    • 2016Predictability in bond returns using technical trading rules37 cited
    • 2013Drivers of technical trend-following rules' profitability in world stock markets36 cited
    • 2020Impact of bitcoin futures on the informational efficiency of bitcoin spot market32 cited
    • 2018Performance of the Average Directional Index as a market timing tool for the most actively traded USD based currency pairs28 cited
    • 2017Do trend following strategies work in Chinese futures markets?28 cited