Pairs trading, technical analysis and data snooping: Mean reversion vs. momentum

Ioannis Psaradellis, Jason Laws, Athanasios Pantelous, Georgios Sermpinis

Research output: Contribution to specialist publicationArticle

Abstract / Description of output

This article examines the performance of technical rules applied to the commodity arbitrage (pairs-trading) investment strategy using daily data from 1990 to 2016. Adopting the false discovery rate method to control for data snooping bias and exercising 18,412 technical trading rules, significant predictability and excess profitability are observed. An out-of-sample analysis is performed to cross-validate the results in different sub-periods. The main finding is that whilst the performance of pairs-trading based on technical analysis exhibits a downward trend over the sample period, the opportunity for significant pairs-trading excess profitability remains
Original languageEnglish
Pages1-4
Number of pages4
Volume3
Specialist publicationGlobal Commodities Applied Research Digest
Publication statusPublished - 1 Jun 2018

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