Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market

Marco Bee and Amedeo Gazzini

No 18, Alea Tech Reports from Department of Computer and Management Sciences, University of Trento, Italy

Abstract: The aim of this paper consists in testing the profitability of simple technical trading rules in the Italian stock market. By means of a recently developed bootstrap methodology we assess whether technical rules based on moving averages are capable of producing excess returns with respect to the Buy-and-Hold strategy. We find that in most cases the rules are profitable and the excess return is statistically significant. However, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.

Pages: 32 pages
Date: 2004-03, Revised 2008-06-14
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