1999/10/01 by Ryan J. Sullivan, Allan Timmermann, Halbert White · 3 citations
Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Monetary Policy and Economic Impact #Stock Market Forecasting Methods #Technical analysis #Computer science #Context (archaeology) #Trading strategy #Reality check #Econometrics #Data mining #Test (biology) #Economics #Financial economics
paper · pdf · doi:10.1111/0022-1082.00163
openalex publication_date 1999/10/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04
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.