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

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 language	English
Pages (from-to)	198-217
Number of pages	20
Journal	International Review of Financial Analysis
Volume	17
Issue number	1
DOIs	https://doi.org/10.1016/j.irfa.2004.08.002
Publication status	Published - 2008
Externally published	Yes

Cite this

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

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.",

author = "Anderson, {John A.} and Faff, {Robert W.}",

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AB - 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.

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

Abstract

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