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Profitability of Trading Rules in Futures Markets

This is a research report on Profitability of Trading Rules in Futures Markets  uploaded by Jasmine Pvk in category: All Documents »  Accounts »  Advance Mathematics section of our research repository.
272 views, 0 comments, Last Update: Jan 30, 2016.
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Tags: Trading , Methodological , Results , Dual Moving , Average Profit
Description:
In this paper we conduct tests for two different
trading rules, namely, the Dual Moving
Average (DMA) model and the Channel
Breakout (CHB) rule. These rules are tested
across five futures contracts – the S&P 500,
British Pound, US T-Bonds, COMEX Gold and
Corn using daily data over the period 1990 to
1998. Overwhelmingly, we find that the trading
rules are unable to produce (gross or net)
profits at any statistical level. While positive
gross and net profits were available in four of
the five markets, the profits were neither
economically or statistically significant



 

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