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Title

Technical trading revisited: false discoveries, persistence tests, and transaction costs

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Year 2008
Collection Cahiers de recherche; 2008.02
Abstract We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and diversifies against model uncertainty. Persistence tests show that an investor would never have been able to select ex ante the future best-performing rules. Moreover, even the in-sample performance is completely offset by the introduction of transactions costs. Overall, our results seriously call into question the economic value of technical trading rules.
Keywords Technical TradingFalse Discovery RatePersistenceTransaction Costs
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BAJGROWICZ, Pierre Georges, SCAILLET, Olivier. Technical trading revisited: false discoveries, persistence tests, and transaction costs. 2008 https://archive-ouverte.unige.ch/unige:5724

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Deposited on : 2010-04-15

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