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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
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.


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BeeGazzini.pdf (496 kb)