Technical Analysis and Market Efficiency in the Live Hog Futures Market

John W. Hales and Marvin L. Hayenga

No 285651, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: Three technical analysis tools-relative strength index (RSI), dual moving average and directional movement indicator-are applied to 1987-92 live hog futures market behavior to determine whether profitable trading rules could be devised which would continue to be proftable out-ofsample. A wide range of critical signaling points for each method is evaluated in conjunction with nine stop loss levels. The relative strength index is the only technique found to perform proftably and consistently. Out-of-sample performance of the best 1987-88 RSI trading rules is proftable, and the general performance of RSI trading rules is positively correlated over two year blocks during 1987-92. Dual moving average and directional movement indicator trading rules did not perform well in live hog futures.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1995-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285651

DOI: 10.22004/ag.econ.285651

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