Point and Figure charting: A computational methodology and trading rule performance in the S&P 500 futures market

John A. Anderson, Robert W. Faff*

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

7 Citations (Scopus)

Abstract

This paper empirically contributes to the existing trading rule literature by providing a methodology for the calculation of Point and Figure charts using ultra-high-frequency data and tests trading rules using eight objective, pre-defined trading rules on S&P 500 futures contracts traded between 1990 and 1998. To assess the robustness of reported profits, a bootstrapping adjustment was conducted to determine the forecasting power of the PF trading rules. The results producing mixed statistical significance with some rules proving significant while many others were not.

Original languageEnglish
Pages (from-to)198-217
Number of pages20
JournalInternational Review of Financial Analysis
Volume17
Issue number1
DOIs
Publication statusPublished - 2008
Externally publishedYes

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