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Sampling frequency and the performance of different types of technical trading rules

Hudson, Robert; McGroarty, Frank; Urquhart, Andrew

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Abstract

The predictive ability of technical trading rules has been studied in great detail however many papers group all technical trading rules together into one basket. We argue that there are two main types of technical trading rules, namely rules based on trend-following and mean reversion. Utilising high-frequency commodity ETF data, we show that mean-reversion based rules perform increasingly better as sampling frequencies increase and that conversely the performance of trend-following rules deteriorate at higher-frequencies. These findings are possibly related to noise created by high-frequency traders.

Journal Article Type Article
Publication Date Aug 1, 2017
Journal Finance research letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 22
Pages 136-139
DOI https://doi.org/10.1016/j.frl.2016.12.015
Keywords Technical analysis; High-frequency trading; Commodity ETFs; Market efficiency
Publisher URL http://www.sciencedirect.com/science/article/pii/S1544612316303026
Copyright Statement ©2018, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Additional Information This article is maintained by: Elsevier; Article Title: Sampling frequency and the performance of different types of technical trading rules; Journal Title: Finance Research Letters; CrossRef DOI link to publisher maintained version: http://dx.doi.org/10.1016/j.frl.2016.12.015; Content Type: article; Copyright: © 2017 Elsevier Inc. All rights reserved.

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Copyright Statement
©2018, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/



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