The rise and fall of technical trading rule success

Nick Taylor

Journal of Banking & Finance, 2014, vol. 40, issue C, 286-302

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 1928–2012. 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.

Keywords: Technical trading rules; Short-selling; Market conditions (search for similar items in EconPapers)
JEL-codes: C32 C53 G11 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:40:y:2014:i:c:p:286-302

DOI: 10.1016/j.jbankfin.2013.12.004

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