Posted: 30 Dec 1998
This study examines the performance of filter and dual moving-average crossover trading rules applied to Nasdaq stocks. We find that trading rules conditioned on a stock?s past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormal returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
Szakmary, Andrew and Davidson, Wallace N. and Schwarz, Thomas V., Filter Tests in Nasdaq Stocks. Financial Review, February 1999. Available at SSRN: https://ssrn.com/abstract=142153