Data-Snooping, Technical Trading Rule Performance and the Bootstrap

Ryan Sullivan, Allan Timmermann and Halbert White

No 1976, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In this paper we utilize White's Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok and LeBaron (1992), expand their universe of 26 trading rules, apply the rules to 100 years of daily data on the Dow Jones Industrial Average and determine the effects of data-snooping.

Keywords: bootstrap methods; data-snooping; Financial Performance; Technical Trading Rules (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 1998-09
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Citations: View citations in EconPapers (18)

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Related works:
Journal Article: Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap (1999)
Working Paper: Data snooping, technical trading, rule performance, and the bootstrap (1998)
Working Paper: Data-Snooping, Technical Trading, Rule Performance and the Bootstrap (1998)
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