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

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.