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Abstract

We investigate the performance of more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004–2015 study period. For this purpose, we apply a discrete false discovery rate approach in more than 240,000 hypotheses and examine the profitability, persistence and robustness of technical analysis. In terms of our results, technical analysis has short-term value and its profitability is mainly driven by short-term momentum. Financial stress seems to have a strong negative effect in technical analysis profitability for US markets and a strong positive effect for emerging and other advanced markets.

Journal of International Financial Markets, Institutions and Money (2021)

What?

This project aims to build an active trading strategy for MSCI indexes around the world.

How?

By investigating a pool of 21k technical trading strategies and adjusting for false discoveries.

Results

The highest level of success is for trading technical strategies in emerging and developing markets. Up to 3% per annum on average in excess return (relative to effective funds rate