Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market

Bee, Marco and Gazzini, Amedeo (2004) Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market. UNSPECIFIED. (Unpublished)

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    Abstract

    The aim of this paper consists in testing the profitability of simple technical trading rules in the Italian stock market. By means of a recently developed bootstrap methodology we assess whether technical rules based on moving averages are capable of producing excess returns with respect to the Buy-and-Hold strategy. We find that in most cases the rules are profitable and the excess return is statistically significant. Howevever, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.

    Item Type: Departmental Technical Report
    Department or Research center: Computer and management sciences
    Subjects: H Social Sciences > HB Economic Theory
    Uncontrolled Keywords: Technical Analysis, Data-Snooping, Resampling Methods, Sharpe Ratio
    Report Number: ALEA ; 18
    Repository staff approval on: 08 Mar 2004

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