Profitability of Trading Rules in Futures Markets

John Anderson (School of Economics and Finance, Queensland University of Technology)
Robert Faff (Department of Accounting and Finance, Monash University)

Accounting Research Journal

ISSN: 1030-9616

Publication date: 1 December 2005

Abstract

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.

Keywords

Citation

Anderson, J. and Faff, R. (2005), "Profitability of Trading Rules in Futures Markets", Accounting Research Journal, Vol. 18 No. 2, pp. 83-92. https://doi.org/10.1108/10309610580000677

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Publisher

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Emerald Group Publishing Limited

Copyright © 2005, Emerald Group Publishing Limited

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