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. The profitability, robustness and persistence of the technical rules are examined. We note that technical analysis has still short-term value in advanced, emerging and frontier markets  . A cross-validation exercise highlights the importance of frequent rebalancing and the variability of profitability in trading with technical analysis.
We investigate the performance of dynamic portfolios constructed using more than 21,000 technical trading rules on 12 categorical and country-specific markets over the 2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for controlling data snooping bias. Compared to the existing methods, DFRD+/- is adaptive and more powerful, and accommodates for discrete p-values. The profitability, persistence and robustness of the technical rules are examined. Technical analysis still has short-term value in advanced, emerging and frontier markets . Financial stress, the economic environment and market development seem to affect the performance of trading rules . A cross-validation exercise highlights the importance of frequent rebalancing and the variability of profitability in trading with technical analysis.
R
This article introduces a discrete false discovery rate (DFRD+/-) controlling method for data snooping testing. We investigate with DFRD+/-
We investigate
R
upon over
using more than
R
study period 2004-2017.
2004-2015 study period, on rolling forward structures of different lengths. We also introduce a discrete false discovery rate (DFRD+/-) method for controlling data snooping bias. Compared to the existing methods, DFRD+/- is adaptive and more powerful, and accommodates for discrete p-values.
R
robustness and persistence
persistence and robustness
R
We note that technical analysis has still
Technical analysis still has
A
. Financial stress, the economic environment and market development seem to affect the performance of trading rules