TY - JOUR
T1 - Profitability of Trading Rules in Futures Markets
AU - Anderson, John
AU - Faff, Robert
PY - 2005/12/1
Y1 - 2005/12/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84993073548&partnerID=8YFLogxK
U2 - 10.1108/10309610580000677
DO - 10.1108/10309610580000677
M3 - Article
AN - SCOPUS:84993073548
SN - 1030-9616
VL - 18
SP - 83
EP - 92
JO - Accounting Research Journal
JF - Accounting Research Journal
IS - 2
ER -