Abstract

http://ssrn.com/abstract=1006275
 
 

References (170)



 
 

Citations (23)



 


 



What Do We Know About the Profitability of Technical Analysis?


Scott H. Irwin


University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Cheol-Ho Park


Chungbuk National University


Journal of Economic Surveys, Vol. 21, No. 4, pp. 786-826, September 2007

Abstract:     
The purpose of this paper is to review the evidence on the profitability of technical analysis. The empirical literature is categorized into two groups, early and modern studies, according to the characteristics of testing procedures. Early studies indicate that technical trading strategies are profitable in foreign exchange markets and futures markets, but not in stock markets. Modern studies indicate that technical trading strategies consistently generate economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 95 modern studies, 56 studies find positive results regarding technical trading strategies, 20 studies obtain negative results, and 19 studies indicate mixed results. Despite the positive evidence on the profitability of technical trading strategies, most empirical studies are subject to various problems in their testing procedures, e.g. data snooping, ex post selection of trading rules or search technologies, and difficulties in estimation of risk and transaction costs. Future research must address these deficiencies in testing in order to provide conclusive evidence on the profitability of technical trading strategies.

Number of Pages in PDF File: 41

Accepted Paper Series


Date posted: August 15, 2007  

Suggested Citation

Irwin, Scott H. and Park, Cheol-Ho, What Do We Know About the Profitability of Technical Analysis?. Journal of Economic Surveys, Vol. 21, No. 4, pp. 786-826, September 2007. Available at SSRN: http://ssrn.com/abstract=1006275 or http://dx.doi.org/10.1111/j.1467-6419.2007.00519.x

Contact Information

Scott H. Irwin (Contact Author)
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics ( email )
1301 W. Gregory Drive
326 Mumford Hall, MC-710
Urbana, IL 61801
United States
Cheol-Ho Park
Chungbuk National University ( email )
Chungbuk 361-763, Cheongju
Korea
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References:  170
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