Autori
Bee, Marco
Gazzini, Amedeo

Titolo
Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market
Periodico
Università degli studi di Trento. Dipartimento di Informatica e Studi Aziendali. ALEA Tech reports
Anno: 2004 - Fascicolo: 18 - Pagina iniziale: 1 - Pagina finale: 32

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. Howevever, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.



Testo completo: http://eprints.biblio.unitn.it/archive/00000547/

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