A reality check on technical trading rule profits in the U.S. Futures markets

Cheol Ho Park, Scott H. Irwin

Research output: Contribution to journalArticle


This article investigates the profitability of technical trading rules in U.S. futures markets during the years 1985-2004. Statistical significance of performance across the trading rules is evaluated using White's Bootstrap Reality Check and Hansen's Superior Predictive Ability tests, which can directly measure the effect of data snooping by testing the performance of the best rule in the context of the full universe of technical trading rules. Results show that the best rules generate statistically significant economic profits for only two of 17 futures markets after correcting for data snooping biases. This evidence suggests that technical trading rules generally have not been profitable in the U.S. futures markets.

Original languageEnglish (US)
Pages (from-to)633-659
Number of pages27
JournalJournal of Futures Markets
Issue number7
StatePublished - Jul 1 2010


ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics

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