A0526
Title: On technical trading rules
Authors: Robert Hudson - Newcastle University (United Kingdom)
Andrew Urquhart - University of Southampton (United Kingdom) [presenting]
Bartosz Gebka - Newcastle University (United Kingdom)
Abstract: A previous study found that technical trading rules have strong predictive power. Since then, there has been an explosion of studies examining the potential profitability of technical trading rules. However the majority of these studies examine the performance of technical trading rules over some pre-determined period and through a number standard parameters of technical trading rules. The aim is to investigate whether investors could have exploited various technical trading rules in the DJIA and FT30 over a long horizon. Employing a parameter sweep, we report the most successful technical trading rules over various subperiods and show how the most successful set of parameters of technical trading rules change over time. This provides strong evidence of the Adaptive Market Hypothesis and that investors need to be weary of the parameters they employ when using technical trading rules.
