The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

WIFO Working Paper No. 289

31 Pages Posted: 25 Nov 2010

See all articles by Stephan Schulmeister

Stephan Schulmeister

Austrian Institute of Economic Research

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2007


This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When based on daily data, the profitability of technical stock trading has steadily declined since 1960 and has become unprofitable over the 1990s. However, when based on 30-minutes-data the same models produce an average gross return of 8.8% per year between 1983 and 2000. These results do not change substantially when trading is simulated over six subperiods. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Over the out-of-sample-period 2001-2006 the 2580 models perform much worse than between 1983 and 2000. This result could be due to stock markets becoming more efficient or to stock price trends shifting from 30-minutes-prices to prices of higher frequencies.

Keywords: Technical Trading, Stock Price Dynamics, Momentum Effect, Reversal Effect

JEL Classification: G12, G13, G14

Suggested Citation

Schulmeister, Stephan, The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data (March 1, 2007). WIFO Working Paper No. 289, Available at SSRN: or

Stephan Schulmeister (Contact Author)

Austrian Institute of Economic Research ( email )

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