A Combined Signal Approach To Technical Analysis On The S&P 500

Camillo Lento
2011 Journal of Business & Economics Research  
<p class="MsoNormal" style="line-height: normal; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">This paper examines the effectiveness of nine technical trading rules on the S&amp;P 500 from January 1950 to March 2008 (14,646 daily observations).<span style="mso-spacerun: yes;">&nbsp; </span>The annualized returns from each trading rule are compared to a na&iuml;ve buy-and-hold strategy to determine profitability. Over the 59 year period, only
more » ... he moving-average cross-over (1,200) and (5,150) trading rules were able to outperform the buy-and-hold trading strategy after adjusting for transaction costs. However, excess returns were generated by employing a Combined Signal Approach (CSA) on the individual trading rules. Statistical significance was confirmed through bootstrap simulations and robustness through sub-period analysis.<span style="mso-spacerun: yes;">&nbsp; </span></span></span></p>
doi:10.19030/jber.v6i8.2460 fatcat:rxffnmd3nbe45j62uogajhpqga