The Profitability of Technical Trading Rules in Us Futures Markets: A Data Snooping Free Test

66 Pages Posted: 17 May 2005 Last revised: 27 Jun 2008

See all articles by Cheol-Ho Park

Cheol-Ho Park

Chungbuk National University

Scott H. Irwin

University of Illinois at Urbana-Champaign

Abstract

Numerous empirical studies have investigated the profitability of technical trading rules in a wide variety of markets, and many of them found positive profits. Despite positive evidence about profitability and improvements in testing procedures, skepticism about technical trading profits remains widespread among academics mainly due to data snooping problems. This study tries to mitigate the problems by confirming the results of a previous study and then replicating the original testing procedure on a new body of data. Results indicate that in 12 U.S. futures markets technical trading profits have gradually declined over time. Substantial technical trading profits during the 1978-1984 period are no longer available in the 1985-2003 period.

Keywords: technical analysis, data snooping, futures markets, replication

JEL Classification: G13, G14, G15

Suggested Citation

Park, Cheol-Ho and Irwin, Scott, The Profitability of Technical Trading Rules in Us Futures Markets: A Data Snooping Free Test. Available at SSRN: https://ssrn.com/abstract=722264 or http://dx.doi.org/10.2139/ssrn.722264

Cheol-Ho Park

Chungbuk National University ( email )

Chungbuk 361-763, Cheongju
Korea, Republic of (South Korea)

Scott Irwin (Contact Author)

University of Illinois at Urbana-Champaign ( email )

344 Mumford Hall
1301 W. Gregory Dr.
Urbana, IL 61801
United States
217-333-6087 (Phone)

HOME PAGE: http://https://scotthirwin.com/

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