Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?
Ben R. Marshall
Massey University - Department of Economics and Finance
Rochester H. Cahan
Macquarie Capital (USA)
Macquarie Bank Ltd
June 27, 2007
Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7,000 rules, apply them to 15 major commodity futures contracts, employ two alternative bootstrapping methodologies, account for data snooping bias, and consider different time periods. While we cannot rule out the possibility that technical trading rules compliment some other trading strategy, we do conclusively show that they are not profitable when used in isolation, despite their wide following.
Number of Pages in PDF File: 28
Keywords: Commodity, Futures, Technical Analysis, Quantitative, Market Timing
JEL Classification: G12, G14working papers series
Date posted: July 26, 2007 ; Last revised: November 12, 2007
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo3 in 0.797 seconds