Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
Bates White & Ballentine
Allan G. Timmermann
University of California, San Diego (UCSD) - Department of Economics; Centre for Economic Policy Research (CEPR)
Halbert L. White, Jr.
University of California, San Diego (UCSD) - Department of Economics
Journal of Finance, Vol. 54, No. 5, October 1999
In this paper we utilize White's Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data-snooping.
JEL Classification: G12Accepted Paper Series
Date posted: May 18, 1999
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