publication . Other literature type . Article . 1992

Simple Technical Trading Rules and the Stochastic Properties of Stock Returns

William Brock; Josef Lakonishok; Blake LeBaron;
  • Published: 01 Dec 1992
  • Publisher: Wiley
This paper tests two of the simplest and most popular trading rules--moving average and trading range break--by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, their results provide strong support for the technical strategies. The returns obtained from these strategies are not consistent with four popular null models: the random walk, the AR(1), the GARCH-M, and the Exponential GARCH. Buy signals consistently generate higher returns than sell signals, and further, the returns following buy signals are less volatile than returns following sell signals. Moreover, returns f...
free text keywords: MACD, Moving average crossover, Technical analysis, Buy and hold, Technical indicator, Finance, business.industry, business, Economics, Bollinger Bands, Relative strength index, Financial economics, Trend following, Economics and Econometrics, Accounting
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