Abstract
This article investigates the profitability of technical trading rules in the KOSPI200 futures market from 1997 through 2006 after accounting for transaction costs, risk. and data-snooping problems. To effectively mitigate data - snooping problems resulted from survivorship bias, we largely expand the full set of technical trading rules handled in the previous literature and measure statistical significance of technical trading performance using White’s (2000) Bootstrap Reality Check (BRC) methodology and Hansen’s (2005) Superior Predictive Ability (SPA) test that can take account of interdependency across individual technical trading rules.
The results indicate that under the net return criterion the best trading rule generates the highest mean net return of about 32% per annum during the sample period but the trading return is statistically insignificant when the effect of data-snooping is considered. Similar results are found under the Sharpe ratio criterion. These findings suggest that substantial technical trading profits may be obtained due to chance rather than the Inherent predictability of technical trading rules.
Keywords
Citation
Park, C.H. (2007), "The Profitability of Technical Trading Rules in the KOSPI200 Futures Market", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 15 No. 2, pp. 85-119. https://doi.org/10.1108/JDQS-02-2007-B0004
Publisher
:Emerald Publishing Limited
Copyright © 2007 Emerald Publishing Limited
License
This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode