Before revision: This article introduces a discrete false discovery rate (DFRD+/-) controlling method for data snooping testing. We investigate with DFRD+/- the performance of dynamic portfolios constructed upon over 21,000 technical trading rules on 12 categorical and country-specific markets over the study period 2004-2017.
After revision: We investigate the performance of dynamic portfolios constructed upon over 21,000 technical trading rules on 12 categorical and country-specific markets over the study period 2004-2017.