Filter Tests in Nasdaq Stocks

Andrew Szakmary, Davidson, Wallace N, and Thomas V Schwarz

The Financial Review, 1999, vol. 34, issue 1, 45-70

Abstract: This study examines the performance of filter and dual moving-average crossover trading rules applied to Nasdaq stocks. We find that trading rules conditioned on a stock's past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormal returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks. Copyright 1999 by MIT Press.

Date: 1999
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