Optimal f and Portfolio Return Optimisation in US Futures MarketsJohn Anderson and Robert William Faff No 133, School of Economics and Finance Discussion Papers and Working Papers Series from School of Economics and Finance, Queensland University of Technology Abstract: While considerable evidence has been produced concerning the efficacy of trading rules in futures markets, the results have generally not allowed for the reinvestment of profits as might be observed for real traders. Similarly, the determination of the appropriate capital allocation required per futures contract traded has been largely unstructured so making reported percentage returns questionable. This paper provides evidence of the profitability of a simple and publicly available trading rule in five futures markets but more importantly incorporates the ability to reinvest any profits via the ‘Optimal f’ technique described by Vince (1990). The results indicate that money management in speculative futures trading plays a more important role in trading rule profitability than previously considered by providing dramatic differences in profitability depending on how aggressively the trader capitalises each futures contract. Keywords: Futures; Optimal f; Money Management; Trading Rules; Technical Analysis. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: http://EconPapers.repec.org/RePEc:qut:dpaper:133 Access Statistics for this paper More papers in School of Economics and Finance Discussion Papers and Working Papers Series from School of Economics and Finance, Queensland University of Technology |
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