Filter rules: follow the trend or take the contrarian approach?

James Kozyra and Camillo Lento

Applied Economics Letters, 2011, vol. 18, issue 3, 235-237

Abstract: This article compares a trending approach to the filter trading rule against a contrarian approach. It is found that, after adjusting for transaction costs, the contrarian approach consistently outperforms the trending approach and is able to earn returns in excess of the buy-and-hold trading strategy. The significance and the robustness of the results are supported by a bootstrap simulation and sub-period analysis, respectively.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:3:p:235-237

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DOI: 10.1080/13504851003636164

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