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Marco Bee, Amedeo Gazzini
Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market
Nr. 18, marzo, 2004
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. However, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.

Lingua:Inglese

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BeeGazzini.pdf (496 kb)