Data-snooping, technical trading rule performance, and the bootstrap

• 成果类型: Article
• 署名作者: Sullivan, R; Timmermann, A; White, H
• 署名单位: University of California System; University of California San Diego; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00163
• 发表日期: 1999
• 页码: 1647-1691
• 关键词: foreign-exchange market; asset pricing-models; stock returns

摘要

In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average, and determine the effects of data-snooping.