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A reality check on technical trading rule profits in the u,s, futures markets, страница 9

TABLE II

Performance of Best Technical Trading Rules Under Mean Net Return Criterion, 1995–2004

Best Technical

Futures Contracts

Commodities

Trading Rule

AR100 pRC pN,W pl pc pu pN,H

Corn (CBOT)

MAC (25, 50, 0.005)

13.15 0.82 0.02 0.59 0.84 0.90 0.02

Soybeans (CBOT)

DRP(38, 0.002)

12.20 0.86 0.01 0.60 0.79 0.81 0.01

Wheat (CBOT)

ALX (0.07, 0.20)

15.33 0.74 0.03 0.43 0.86 0.91 0.02

Live Cattle (CME)

MAC (15, 35, 0.015)

8.52 0.87 0.00 0.26 0.36 0.42 0.01

Pork Bellies (CME)

RSI (14,20)

14.75 0.99 0.04 0.81 0.92 0.95 0.04

Lumber (CME)

DRM (4)

15.84 0.95 0.05 0.84 0.98 0.98 0.04

Cocoa (ICE U.S.)

RSI (10, 30)

12.59 0.98 0.08 0.85 0.99 1.00 0.06

Sugar #11(ICE U.S.) CHL(50, 0.03)

5.07 1.00 0.14 0.59 0.86 0.93 0.17

Copper (NYMEX)             RSI (9,44)

10.74 0.96 0.04 0.89 0.98 0.99 0.05

Silver (NYMEX)               RSI (7,22)

14.30 0.73 0.03 0.75 0.92 0.94 0.02

Crude Oil (NYMEX) EMC (5, 65, 0.001)

15.84 0.94 0.03 0.87 0.98 0.99 0.03

Financials

Mark (CME)                                           MACD (14, 30,17, 0.30) 7.87 0.91 0.01 0.67 0.82 0.84 0.01

Pound (CME)                  RSI (16, 36)                                            3.09 1.00 0.12 0.99 1.00 1.00 0.11

Yen (CME)              ALX (0.05, 0.10)      10.40 0.19 0.00 0.29 0.35 0.36 0.00 Eurodollar (CME)           ALX (0.001, 0.0035)    0.82 0.03 0.00 0.09 0.10 0.11 0.00 Treasury-Bills (CME) RSI (10, 16)    0.94 0.91 0.02 0.53 0.65 0.66 0.01 S&P500 (CME)        RSI (4,38)               13.79 0.38 0.00 0.44 0.60 0.61 0.01

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’s 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 (in-sample). pRC denotes White’s Reality Check p-value. pl, pc, and pu denote Hansen’s Lower, Consistent, and Upper SPA p-values, respectively. Sample periods for the mark and treasury-bills are 1995–1998 and 1995–1996, respectively.

best technical rules are positive across all markets and statistically significant for all but two markets (sugar and the pound) in terms of the nominal p-value. Annual mean net returns range from 0.89% for treasury-bills to 13.69% for crude oil. When the effect of data snooping is considered, however, technical trading returns are statistically significant only for the Eurodollar, with a Reality Check p-value of 0.03 and a Consistent SPA p-value of 0.10.

Table III presents in-sample performance of the best technical trading rules over the full sample period, 1985–2004. As expected based on the previous two sets of results, when the effect of data snooping is not considered, annual mean net returns of the best rules are all positive and statistically significant for all but two markets (cocoa and sugar no. 11). White’s Reality Check tests and Hansen’s SPA tests, however, reveal that technical trading rule profits are statistically significant only for the yen and the Eurodollar after correcting for the

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