Show simple item record

Files in this item


Item metadata

dc.contributor.authorPsaradellis, Ioannis
dc.contributor.authorLaws, Jason
dc.contributor.authorPantelous, Athanasios
dc.contributor.authorSermpinis, Georgios
dc.identifier.citationPsaradellis , I , Laws , J , Pantelous , A & Sermpinis , G 2019 , ' Performance of technical trading rules : evidence from the crude oil market ' , European Journal of Finance , vol. 25 , no. 17 , pp. 1793-1815 .
dc.identifier.otherPURE: 256667904
dc.identifier.otherPURE UUID: 08cc7ce6-1bd7-4ade-ac86-7273386c6e28
dc.identifier.otherScopus: 85057599714
dc.identifier.otherORCID: /0000-0002-7628-8931/work/60196824
dc.identifier.otherWOS: 000489682000009
dc.descriptionThis work was supported by the EPSRC and ESRC Centre for Doctoral Training on Quantification and Management of Risk & Uncertainty in Complex Systems & Environments (EP/L015927/1).en
dc.description.abstractThis study investigates the debatable success of technical trading rules, through the years, on the trending energy market of crude oil. In particular, the large universe of 7846 trading rules proposed by Sullivan, Timmermann, and White (1999. “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap.” The Journal of Finance 54 (5): 1647–1691. doi:10.1111/0022-1082.00163), divided into five families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages), is applied to the daily prices of West Texas Intermediate (WTI) light, sweet crude oil futures as well as the United States Oil (USO) fund, from 2006 onwards. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano, J. P., and M. Wolf. (2007. “Control of Generalized Error Rates in Multiple Testing.” The Annals of Statistics 35 (4): 1378–1408. doi:10.1214/009053606000001622) and Bajgrowicz, P., and O. Scaillet. (2012. “Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs.” Journal of Financial Economics 106 (3): 473–491. doi:10.1016/j.jfineco.2012.06.001) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature in rules performance, contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of interim market inefficiencies.
dc.relation.ispartofEuropean Journal of Financeen
dc.rightsCopyright © 2018, Informa UK Limited, trading as Taylor & Francis Group This work is made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at
dc.subjectCrude oilen
dc.subjectTechnical tradingen
dc.subjectData snoopingen
dc.subjectTransaction costsen
dc.subjectMarket efficiencyen
dc.subjectHG Financeen
dc.titlePerformance of technical trading rules : evidence from the crude oil marketen
dc.typeJournal articleen
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.description.statusPeer revieweden

This item appears in the following Collection(s)

Show simple item record