Is Technical Analysis Still Profitable? Evidence from MSCI Indices, Cross-Validation and Discrete False Discovery Rate

61 Pages Posted: 2 Dec 2018 Last revised: 22 Sep 2020

See all articles by Georgios Sermpinis

Georgios Sermpinis

University of Glasgow

Arman Hassanniakalager

University of Bath - School of Management

Charalampos Stasinakis

University of Glasgow

Ioannis Psaradellis

University of St Andrews School of Economics and Finance

Date Written: September 21, 2020

Abstract

We investigate the performance of more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period. For this purpose, we apply a discrete false discovery rate approach in more than 240,000 hypotheses and examine the profitability, persistence and robustness of technical analysis. In terms of our results, technical analysis has short-term value. A novel cross-validation exercise highlights the importance of frequent rebalancing and supports our findings. Financial stress seems to have a strong negative effect in technical analysis profitability for US markets and a strong positive effect for emerging and other advanced markets.

Keywords: financial economics, false discovery rate, multiple hypothesis testing, stock index, portfolio management

JEL Classification: G11, G01, F47, G15

Suggested Citation

Sermpinis, Georgios and Hassanniakalager, Arman and Stasinakis, Charalampos and Psaradellis, Ioannis, Is Technical Analysis Still Profitable? Evidence from MSCI Indices, Cross-Validation and Discrete False Discovery Rate (September 21, 2020). Available at SSRN: https://ssrn.com/abstract=3284621 or http://dx.doi.org/10.2139/ssrn.3284621

Georgios Sermpinis (Contact Author)

University of Glasgow ( email )

Adam Smith Business School
Glasgow, Scotland G12 8LE
United Kingdom

Arman Hassanniakalager

University of Bath - School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom
+44(0)1225386170 (Phone)

HOME PAGE: http://researchportal.bath.ac.uk/en/persons/arman-hassanniakalager

Charalampos Stasinakis

University of Glasgow ( email )

University Avenue
Adam Smith Business School
Glasgow, Scotland G128QQ
United Kingdom

Ioannis Psaradellis

University of St Andrews School of Economics and Finance ( email )

Castlecliffe, The Scores
St Andrews, KY16 9AR
United Kingdom

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