Work

Is Technical Analysis Still Profitable? Evidence from MSCI Indices, Cross-Validation and Discrete False Discovery Rate

Year: 2020

Type: preprint

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. A novel cross-validation exercise highlights the importance of frequent rebalancing and supports our findings. 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.

Source: arXiv (Cornell University)

Authors: Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis, Ioannis Psaradellis

Institutions: University of Glasgow, University of Bath, University of St Andrews

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3206277447

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