Technical Analysis and the London Stock Exchange: Testing Trading Rules Using the FT30

Terence C Mills

International Journal of Finance & Economics, 1997, vol. 2, issue 4, 319-31

Abstract: This paper investigates the predictive ability of various simple technical trading rules by analysing daily data on the London Stock Exchange FT30 index for the period 1935-94. Assessing the statistical significance of the rules via AR-ARCH models and bootstrap techniques, it is found that the trading rules worked, in the sense of producing a return greater than a buy-and-hold strategy, for most of the sample period, at least up to the early 1980s, i.e. when the market was effectively driftless. Since then, however, the buy-and-hold strategy has clearly dominated. Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1997
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