Skip to main content

Research Repository

Advanced Search

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

Hudson, Robert; McGroarty, Frank; Urquhart, Andrew

Authors

Frank McGroarty

Andrew Urquhart



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.

Citation

Hudson, R., McGroarty, F., & Urquhart, A. (2017). Sampling frequency and the performance of different types of technical trading rules. Finance research letters, 22, 136-139. https://doi.org/10.1016/j.frl.2016.12.015

Acceptance Date Dec 28, 2016
Online Publication Date Jan 6, 2017
Publication Date Aug 1, 2017
Deposit Date Jan 5, 2017
Publicly Available Date Mar 28, 2024
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
Public URL https://hull-repository.worktribe.com/output/446818
Publisher URL http://www.sciencedirect.com/science/article/pii/S1544612316303026
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.

Files





You might also like



Downloadable Citations