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

Hudson, Robert; McGroarty, Frank; Urquhart, Andrew

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: Jan 10, 2018
• 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.
• Contract Date: Jan 10, 2018