Active investment strategies in the Spanish futures market: a solution to avoid data snooping bias

A. Olasolo, M. A. Pérez and V. Ruiz

Applied Economics Letters, 2016, vol. 23, issue 9, 609-613

Abstract: This article provides a solution to avoid the data snooping problem in the implementation of active investment strategies in the Spanish financial futures markets. The work sets out to evaluate the results obtained with optimum active investment strategies, grounded in the use of exponential moving averages, and to determine their consistency in periods subsequent to those for which they were obtained. To this end, prices were used with data of different time frequencies, different periods for calculating moving averages and different time ranges. In global terms, the differences between the yield of these active strategies and those of a passive nature are statistically significant. The weak efficient market hypothesis is, therefore, rejected for trading in futures on the IBEX-35 stock market index.

Date: 2016
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DOI: 10.1080/13504851.2015.1093075

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