The rise and fall of technical trading rule success

✍ Scribed by Taylor, Nick

• Book ID: 122268260
• Publisher: Elsevier Science
• Year: 2014
• Tongue: English
• Weight: 875 KB
• Volume: 40
• Category: Article
• ISSN: 0378-4266
• DOI: 10.1016/j.jbankfin.2013.12.004

✦ Synopsis

The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928-2012. Using a set of econometric models that permit time-variation in riskadjusted returns to TTR portfolios, the results reveal that profits evolve slowly over time, are confined to particular episodes primarily from the mid-1960s to mid-1980s, and rely on the ability of investors to short-sell stocks. These findings are demonstrated to be consistent with theoretical models that predict a relationship between TTR performance and market conditions.