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- W2891655497 abstract "This article investigates the profitability of technical trading rules in the KOSPI200 futures market from 1997 through 2006 after accounting for transaction costs, risk. and data-snooping problems. To effectively mitigate data - snooping problems resulted from survivorship bias, we largely expand the full set of technical trading rules handled in the previous literature and measure statistical significance of technical trading performance using White’s (2000) Bootstrap Reality Check (BRC) methodology and Hansen’s (2005) Superior Predictive Ability (SPA) test that can take account of interdependency across individual technical trading rules. The results indicate that under the net return criterion the best trading rule generates the highest mean net return of about 32% per annum during the sample period but the trading return is statistically insignificant when the effect of data-snooping is considered. Similar results are found under the Sharpe ratio criterion. These findings suggest that substantial technical trading profits may be obtained due to chance rather than the Inherent predictability of technical trading rules." @default.
- W2891655497 created "2018-09-27" @default.
- W2891655497 creator A5090870509 @default.
- W2891655497 date "2007-11-30" @default.
- W2891655497 modified "2023-09-23" @default.
- W2891655497 title "The Profitability of Technical Trading Rules in the KOSPI200 Futures Market" @default.
- W2891655497 doi "https://doi.org/10.1108/jdqs-02-2007-b0004" @default.
- W2891655497 hasPublicationYear "2007" @default.
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