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The benefits of combining seasonal anomalies and technical trading rules

Gebka, Bartosz; Hudson, Robert S.; Atanasova, Christina V.


Bartosz Gebka

Christina V. Atanasova


Although many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best known effects: the moving average rule, the turn of the month effect, and the Halloween effect. We show that the rules can be combined effectively, giving significant levels of returns predictability with low risk and offering the possibility of profitable trading. This new investment approach is especially beneficial for a typical individual investor, who faces high transaction costs and is poorly diversified.


Gebka, B., Hudson, R. S., & Atanasova, C. V. (2015). The benefits of combining seasonal anomalies and technical trading rules. Finance research letters, 14, 36-44.

Journal Article Type Article
Acceptance Date Jun 19, 2015
Online Publication Date Jun 26, 2015
Publication Date 2015-08
Deposit Date Jul 28, 2015
Publicly Available Date Jul 28, 2015
Journal Finance research letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 14
Pages 36-44
Keywords Technical trading; Calendar anomalies; Stock market predictability; Market efficiency
Public URL
Publisher URL
Additional Information Author's accepted manuscript of article published in: Finance research letters, 2015, v.14
Contract Date Jul 28, 2015


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