Abstract

http://ssrn.com/abstract=1703176
 
 

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Filter Rules: Follow the Trend, or Take the Contrarian Approach?


James Kozyra


Lakehead University

Camillo Lento


Lakehead University

August 27, 2010


Abstract:     
This paper compares a trending approach to the filter trading rule against a contrarian approach. It is found that, after adjusting for transaction costs, the contrarian approach consistently outperforms the trending approach, and is able to earn returns in excess of the buy-and-hold trading strategy. The significance and robustness of the results are supported by a bootstrap simulation and sub-period analysis, respectively.

Number of Pages in PDF File: 8

Keywords: Filter Rule, Market Efficiency, Contrarian Trading Strategy

JEL Classification: G14, G19, N22

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Date posted: November 6, 2010  

Suggested Citation

Kozyra, James and Lento, Camillo, Filter Rules: Follow the Trend, or Take the Contrarian Approach? (August 27, 2010). Available at SSRN: http://ssrn.com/abstract=1703176 or http://dx.doi.org/10.2139/ssrn.1703176

Contact Information

James Kozyra
Lakehead University ( email )
955 Oliver Road
Thunder Bay, Ontario P7B 5E1
Canada
Camillo Lento (Contact Author)
Lakehead University ( email )
955 Oliver Road
Thunder Bay, Ontario P7B 5E1
Canada
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