Is the CRISMA technical trading system profitable?

The CRISMA technical trading system, which comprises price momentum, volume, and relative strength components, is among the most publicized evidence against market efficiency. We re-examine the profitability of CRISMA, using all stocks in the CRSP database from 1976 to 2003, and find that it is not consistently profitable once general market movements are accounted for, even under the assumption of zero transaction costs. This result is consistent with weak-form market efficiency. We conclude that the previous evidence supportive of CRISMA appears to specify the sample of stocks considered by these studies.