On the Bound of Cumulative Return in Trading Series and the Verification Using Technical Trading Rules

Can Yang, Junjie Zhai and Helong Li

Papers from arXiv.org

Abstract: Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of conventional technical trading rules. Furthermore, with the help of bootstrap methodology, we investigate the profitability of technical trading rules on different international stock markets, including developed markets and emerging markets. At last, the results show that the technical trading rules are hard to beat the market, and even less profitable than the random trading strategy.

Date: 2020-05
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2005.13974 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2005.13974

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().