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- W3215706775 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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- W3215706775 date "2023-01-01" @default.
- W3215706775 modified "2023-09-25" @default.
- W3215706775 title "Technical analysis, spread trading, and data snooping control" @default.
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- W3215706775 doi "https://doi.org/10.1016/j.ijforecast.2021.10.002" @default.
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