Technical analysis and the London Stock Exchange: testing trading rules using the FT30

✍ Scribed by Terence C. Mills

• Publisher: John Wiley and Sons
• Year: 1997
• Tongue: English
• Weight: 181 KB
• Volume: 2
• Category: Article
• ISSN: 1076-9307
• DOI: 10.1002/(sici)1099-1158(199710)2:4<319::aid-jfe53>3.0.co;2-6

✦ Synopsis

This paper investigates the predictive ability of various simple technical trading rules by analysing daily data on the London Stock Exchange FT30 index for the period 1935± 1994. Assessing the statistical signi®cance of the rules via AR±ARCH models and bootstrap techniques, it is found that the trading rules worked, in the sense of producing a return greater than a buy-and-hold strategy, for most of the sample period, at least up to the early 1980s, i.e. when the market was effectively driftless. Since then, however, the buy-and-hold strategy has clearly dominated.