Profitability of Trading Rules in Futures Markets

John Anderson, Robert Faff

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)


In this paper we conduct tests for two different trading rules, namely, the Dual Moving Average (DMA) model and the Channel Breakout (CHB) rule. These rules are tested across five futures contracts – the S&P 500, British Pound, US T-Bonds, COMEX Gold and Corn using daily data over the period 1990 to 1998. Overwhelmingly, we find that the trading rules are unable to produce (gross or net) profits at any statistical level. While positive gross and net profits were available in four of the five markets, the profits were neither economically or statistically significant.

Original languageEnglish
Pages (from-to)83-92
Number of pages10
JournalAccounting Research Journal
Issue number2
Publication statusPublished - 1 Dec 2005
Externally publishedYes


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