Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5090821 | Journal of Banking & Finance | 2008 | 10 Pages |
Abstract
Quantitative market timing strategies are not consistently profitable when applied to 15 major commodity futures series. We conduct the most comprehensive study of quantitative trading rules in this market setting to date. We consider over 7000 rules, employ two alternative bootstrapping methodologies, account for data-snooping bias, and consider different time periods. We cannot rule out the possibility that trading rules compliment some other trading strategy or that some traders may have success using a specific rule on its own, but we do conclusively show that none of these rules beat the market any more than expected given random data variation.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ben R. Marshall, Rochester H. Cahan, Jared M. Cahan,