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University of Illinois at Urbana-Champaign
The Profitability of Technical Trading Rules in United States Futures Markets
Abstract
dc:descriptionThe results of the first approach confirm Lukac, Brorsen, and Irwin's successful findings during the 1978--1984 period. The replication results, however, show that substantial technical trading profits during the early period disappeared in the subsequent 1985--2003 period. The results of the second approach indicate that the best rule of 14 technical trading systems generates statistically significant economic profits only for 2 of 17 US futures markets over 1985--2004. This evidence suggests that technical trading rules in general have not been profitable in US futures markets over the last 20 years after correcting for data snooping biases.
Degree
thesis:*- Name thesis:degree_name
- Ph.D.
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Agricultural and Consumer Economics
- Grantor
- University of Illinois at Urbana-Champaign
- Year dc:date
- 2015
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Park, Cheol-Ho
- Contributors dc:contributor
-
- Irwin, Scott H.
Subjects
dc:subject × 1Rights
- Language dc:language
- eng
Identifiers
dc:identifier.*- Identifier
- (MiAaPQ)AAI3199110
- OAI identifier oai:identifier
- oai:www.ideals.illinois.edu:2142/82980