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Data snooping, technical trading, rule performance, and the bootstrap

Author

Listed:
  • Sullivan, Ryan
  • Timmermann, Allan
  • White, Halbert
Abstract
In this paper we utilize White's Reality Check bootstrap methodology (White (1997)) to evaluate simple technical trading rules while quantifying the data-snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance 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 Jones Industrial Average, and determine the effects of data-snooping.

Suggested Citation

  • Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Data snooping, technical trading, rule performance, and the bootstrap," LSE Research Online Documents on Economics 119144, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:119144
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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