Reexamining the Profitability of Technical Analysis with Data Snooping Checks - The Diigo Meta page

• 12 Aug 08
  

  piproject

  • that significantly profitable simple rules and complex trading strategies do exist in the data from relatively "young" markets (NASDAQ Composite and Russell 2000) but not in the data from relatively "mature" markets [Dow Jones Industrial Average (DJIA) and S&P 500]
  • we find that the best rules for NASDAQ Composite and Russell 2000 outperform the buy-and-hold strategy in most in- and out-of-sample periods
  • complex trading strategies are able to improve on the profits of simple rules and may even generate significant profits from unprofitable simple rules

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