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• W2892955873 abstract "This paper utilizes a large universe of 18,410 technical trading rules (TTRs) and adopts a technique that controls for false discoveries to evaluate the performance of frequently traded spreads using daily data over 1990–2016. For the first time, the paper applies an excessive out-of-sample analysis in different subperiods across all TTRs examined. For commodity spreads, the evidence of significant predictability appears much stronger compared to equity and currency spreads. Out-of-sample performance of portfolios of significant rules typically exceeds transaction cost estimates and generates a Sharpe ratio of 3.67 in 2016. In general, we reject previous studies’ evidence of a uniformly monotonic downward trend in the selection of predictive TTRs over 1990–2016." @default.
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• W2892955873 date "2018-01-01" @default.
• W2892955873 modified "2023-09-23" @default.
• W2892955873 title "Pairs Trading, Technical Analysis and Data Snooping: Mean Reversion vs Momentum" @default.
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• W2892955873 doi "https://doi.org/10.2139/ssrn.3128788" @default.
• W2892955873 hasPublicationYear "2018" @default.
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