The Rise and Fall of Technical Trading Rule Success

Research output: Contribution to journalArticle (Academic Journal)peer-review

48 Citations (Scopus)

Abstract

The purpose of this paper is to examine the performance of an important set of momentum-based technical trading rules (TTRs) applied to all members of the Dow Jones Industrial Average (DJIA) stock index over the period 1928 to 2012. Using a set of econometric models that permit time-variation in risk-adjusted returns to TTR portfolios, the results reveal that profits evolve slowly over time, are confined to particular episodes primarily from the mid-1960s to mid-1980s, and rely on the ability of investors to short-sell stocks. These findings are demonstrated to be consistent with theoretical models that predict a relationship between TTR performance and market conditions.
Original languageEnglish
Pages (from-to)286-302
Number of pages17
JournalJournal of Banking and Finance
Volume40
DOIs
Publication statusPublished - 1 Mar 2014

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