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A reality check on technical trading rule profits in the u,s, futures markets, страница 10

TABLE III

Performance of Best Technical Trading Rules Under Mean Net Return Criterion, 1985–2004

Best Technical

Futures Contracts

Commodities

Trading Rule AR100 pRC pN,W pl pc pu pN,H % > 0

Corn (CBOT)

MAC (20, 65, 0)                                                      5.81 1.00 0.10 0.94 0.99 1.00 0.07 6.2

Soybeans (CBOT)

DRP(34, 0.001)                                                      5.88 1.00 0.07 0.92 0.99 1.00 0.06 3.7

Wheat (CBOT)

ALX (0.06, 0.20)                                                     7.43 0.98 0.07 0.71 0.96 1.00 0.04 1.8

Live Cattle (CME)

MAC (15, 35, 0.015) 5.47 0.94 0.00 0.56 0.72 0.80 0.01 10.3

Pork Bellies (CME) DRP(40, 0.001)

11.04 0.98 0.04 0.70 0.87 0.90 0.05 6.5

  

Lumber (CME)                DRP(6, 0.022)

9.53 0.98 0.05 0.84 0.97 0.98 0.05 39.2

  

Cocoa (ICE U.S.)           RSI (7,16)

5.38 1.00 0.12 0.94 1.00 1.00 0.15 1.1

  

Sugar #11(ICE U.S.) RSI (16,22)

5.17 1.00 0.16 0.91 1.00 1.00 0.12 1.6

  

Copper ( NYMEX)          ALX (0.02, 0.20)

8.98 0.92 0.04 0.75 0.93 0.95 0.05 10.0

  

Silver (NYMEX)              RSI (18, 38)

10.01 0.85 0.03 0.65 0.91 0.95 0.03 2.5

  

Crude Oil (NYMEX) MII (15, 0)

Financials

13.69 0.88 0.06 0.67 0.90 0.94 0.05 33.7

  

Mark (CME)                   MAC (25, 55, 0)

8.10 0.30 0.00 0.41 0.54 0.57 0.00 59.0

  

Pound (CME)                 DRP(4, 0.010)

4.39 0.86 0.03 0.71 0.86 0.90 0.01 36.8

  

Yen (CME)                    DRI (60, 3)

9.10 0.02 0.00 0.09 0.09 0.10 0.00 76.6

  

Eurodollar (CME)            DRP(6, 0.004)

1.21 0.00 0.00 0.00 0.00 0.00 0.00 62.1

  

Treasury-Bills (CME) DRP(2, 0.017)

0.89 0.53 0.01 0.34 0.43 0.44 0.01 32.7

  

      S&P500 (CME)                                                            ALX (0.015, 0.100) 10.04 0.36 0.01 0.27 0.38 0.39 0.00 7.3

Notes. MAC, Moving Average Crossover; EMC, Exponential Moving Average Crossover; MACD, Moving Average ConvergenceDivergence; CHL, Outside Price Channel; LSO, L-S-O Price Channel; MII, M-II Price Channel; RSI, Relative Strength Index; DRI, Directional Indicator; RNQ, Range Quotient; REF, Reference Deviation; DRM, Directional Movement; ALX, Alexander’s Filter Rule; PAR, Parabolic Time/Price; DRP, Directional Parabolic; AR100 denotes annual mean net returns (%) after adjustment for transaction costs of $100. pN,W and pN,H denote White and Hansen’s nominal p-values, respectively, which are obtained from applying their testing procedures only to the best rule or a single rule, thereby ignoring the effect of data snooping. pRc denotes White’s Reality Check p-value. pl, pc, and pu denote Hansen’s Lower, Consistent, and Upper SPAp-values, respectively. The last column (%>0) indicates the proportion of trading rules with a positive net return. Sample periods for the mark and treasury-bills are 1985–1998 and 1985–1996, respectively.

effect of data snooping. The p-values from both tests indicate that an annual mean net return of 1.21% for the Eurodollar is statistically significant at the 1% level in both tests and the annual mean net return of 9.10% for the yen is statistically significant at the 5% level in White’s test and at the 10% level in Hansen’s test. The last column of Table III indicates a proportion of trading rules with a positive net return. As shown in the table, figures are much greater in most financial futures compared to commodity futures. For example, 76.6 and 62.1% of the 9,385 rules generate positive net returns for the yen and the Eurodollar, respectively, whereas only 1.1% and 1.6% of the rules produce positive net returns for cocoa and sugar, respectively. These results suggest that technical trading rules have performed better in financial futures markets, especially in the interest rate and currency futures markets, than in commodity futures markets.

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