Data-Snooping, Technical Trading, Rule Performance and the Bootstrap

Allan Timmermann, Halbert White and Ryan Sullivan

FMG Discussion Papers from Financial Markets Group

Abstract: In this paper we utilize Whites Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect inthe context of the full universe form which the trading rules are drawn. Henxe, for the first time, the paper presents a comrehensive test of perfomance 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 Jone Industrial Average, and determine the effects of data-snooping.

Date: 1998-09
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Citations: View citations in EconPapers (29)

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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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