TY - JOUR
T1 - Predictability of the simple technical trading rules
T2 - An out-of-sample test
AU - Fang, Jiali
AU - Jacobsen, Ben
AU - Qin, Yafeng
PY - 2014/1/1
Y1 - 2014/1/1
N2 - In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test safeguards against sample selection bias, data mining, hindsight bias, and other usual biases that may affect results in our field. We use the exact same technical trading rules that Brock, Lakonishok, and LeBaron (1992) showed to work best in their historical sample. Further analysis shows that this poor out-of-sample performance most likely is not due to the market becoming more efficient - instantaneously or gradually over time - but probably a result of bias.
AB - In a true out-of-sample test based on fresh data we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test safeguards against sample selection bias, data mining, hindsight bias, and other usual biases that may affect results in our field. We use the exact same technical trading rules that Brock, Lakonishok, and LeBaron (1992) showed to work best in their historical sample. Further analysis shows that this poor out-of-sample performance most likely is not due to the market becoming more efficient - instantaneously or gradually over time - but probably a result of bias.
KW - Market efficiency
KW - Out-of-sample tests
KW - Return predictability
KW - Technical analysis
UR - http://www.scopus.com/inward/record.url?scp=84895900102&partnerID=8YFLogxK
U2 - 10.1016/j.rfe.2013.05.004
DO - 10.1016/j.rfe.2013.05.004
M3 - Article
AN - SCOPUS:84895900102
VL - 23
SP - 30
EP - 45
JO - Review of Financial Economics
JF - Review of Financial Economics
SN - 1058-3300
IS - 1
ER -