Global industry portfolios and short-term predictability of returns: Is it there?

Shynkevich, Andrei

doi:10.1016/j.finmar.2012.05.002

Cited by 15 publications

(8 citation statements)

References 51 publications

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“…This result is consistent with the downward trend of the profitability of technical trading rules after 2000s in various markets (Shynkevich, 2012a(Shynkevich, , in press, 2016Wang, Jiang, Li, & Zhou, 2015). After reviewing the literature citing the SPA test, we find that almost all of them failed to deliver significant outperformance after correcting data snooping bias in the 2000s.…”

Section: Data Snooping Testssupporting

confidence: 85%

Do trend following strategies work in Chinese futures markets?

Zhang

Zhou

2017

Journal of Futures Markets

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We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following‐based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub‐prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.

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Section: Data Snooping Testssupporting

confidence: 85%

Do trend following strategies work in Chinese futures markets?

Zhang

Zhou

2017

Journal of Futures Markets

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“…The above testing techniques have also been used in recent studies on technical analysis applied to equity markets. This literature includes the early studies of and Marshall, Cahan and Cahan (2008) and the more recent investigations of Shynkevich (2012aShynkevich ( , 2012bShynkevich ( , 2012c.…”

Section: Accepted Manuscriptmentioning

confidence: 99%

How profitable are FX technical trading rules?

Coakley

Marzano

Nankervis

2016

International Review of Financial Analysis

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This paper provides a comprehensive empirical investigation of the profitability of foreign exchange technical trading rules over the 1996:10 -2015:06 period for 22 currencies quoted in US dollars. It reports evidence of profitability across a universe of 113,148 rules that include traditional moving average rules and those constructed on the basis of technical indicators such as Bollinger bands and the relative strength index. The best trading rules achieve annualised returns of up to 30%. The Step-SPA test (Hsu et al., 2010) results show a sharp fall in the total number of rules that are robust to data snooping bias. Virtually no traditional rule is significant in the 2006-2015 sub-sample, in line with the adaptive markets hypothesis. By contrast, rules based on new technical indicator such as Bollinger Band and relative strength index rules remain robustly profitable across all currencies over the more recent sub-sample.

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“…The author employs several performance measures to incorporate the risk properties of returns and works with the Jarque-Bera portmanteau test and the Lilliefors test (Shynkevich, 2012a).…”

Section: Standard Studiesmentioning

confidence: 99%

Pattern recognition applied to chart analysis. Evidence from intraday international stock markets

Michniuk¹

2015

1st INTERNATIONAL CONFERENCE ON BUSINESS MANAGEMENT - “NEW CHALLENGES IN BUSINESS RESEARCH" - Conference Proceedings

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Global industry portfolios and short-term predictability of returns: Is it there?

Cited by 15 publications

References 51 publications

Do trend following strategies work in Chinese futures markets?

Do trend following strategies work in Chinese futures markets?

How profitable are FX technical trading rules?

Pattern recognition applied to chart analysis. Evidence from intraday international stock markets

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