Technical trading revisited: False discoveries, persistence tests, and transaction costs

• 成果类型: Article
• 署名作者: Bajgrowicz, Pierre; Scaillet, Olivier
• 署名单位: University of Geneva; University of Geneva
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.06.001
• 发表日期: 2012
• 页码: 473-491
• 关键词: Technical trading; False Discovery Rate; persistence; transaction costs

摘要

We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones Industrial Average index from 1897 to 2011, and we use the false discovery rate (FDR) as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules, which allows diversifying against model uncertainty. Persistence tests show that, even with the more powerful FDR technique, an investor would never have been able to select ex ante the future best-performing rules. Moreover, even in-sample, the performance is completely offset by the introduction of low transaction costs. Overall, our results seriously call into question the economic value of technical trading rules that has been reported for early periods. (C) 2012 Elsevier B.V. All rights reserved.