The Stability of Moving Average Technical Trading Rules on the Dow Jones Index

Derivatives Use, Trading and Regulation, Vol. 5, No. 4

Posted: 11 Jul 2000

See all articles by Blake LeBaron

Blake LeBaron

Brandeis University - International Business School

Abstract

This paper reafirms previous results that show a distinct change in performance of moving average trading rules on the Dow Jones Index over the past 10 years relative to the previous 90 years. The performance in forecasting conditional means has changed significantly. In contrast to this is the fact that technical rules continue to forecast conditional variances in a similar fashion to the previous 90 years. Several tests are performed to demonstrate the robustness of these results over alternative trading mechnasims. Finally, the results are discussed in the context of datasnooping versus structural changes in the Dow.

JEL Classification: G12, G14

Suggested Citation

LeBaron, Blake D., The Stability of Moving Average Technical Trading Rules on the Dow Jones Index. Derivatives Use, Trading and Regulation, Vol. 5, No. 4, Available at SSRN: https://ssrn.com/abstract=224614

Blake D. LeBaron (Contact Author)

Brandeis University - International Business School ( email )

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