Data-Snooping, Technical Trading Rule Performance, and the Bootstrap

Posted: 18 May 1999

See all articles by Ryan Sullivan

Ryan Sullivan

Bates White & Ballentine

Allan Timmermann

UCSD ; Centre for Economic Policy Research (CEPR)

Halbert L. White, Jr.

University of California, San Diego (UCSD) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Abstract

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: G12

Suggested Citation

Sullivan, Ryan M. and Timmermann, Allan and White, Halbert L., Data-Snooping, Technical Trading Rule Performance, and the Bootstrap. Available at SSRN: https://ssrn.com/abstract=160330

Ryan M. Sullivan

Bates White & Ballentine ( email )

Del Mar, CA
United States

Allan Timmermann

UCSD ( email )

9500 Gilman Drive
La Jolla, CA 92093-0553
United States
858-534-0894 (Phone)

HOME PAGE: http://rady.ucsd.edu/people/faculty/timmermann/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Halbert L. White (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
858-534-3502 (Phone)
858-534-7040 (Fax)

HOME PAGE: http://www.econ.ucsd.edu/~mbacci/white/

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