Technical Analysis and Discrete False Discovery Rate

Evidence from MSCI Indices

Georgios Sermpinis, Arman Hassanniakalager, Charalampos Stasinakis, Ioannis Psaradellis

Research output: Working paper

Abstract

This article introduces a discrete false discovery rate (DFRD+/-) controlling method for data snooping testing. We investigate with DFRD+/- the performance of dynamic portfolios constructed upon over 21,000 technical trading rules on 12 categorical and country-specific markets over the study period 2004-2017. The profitability, robustness and persistence of the technical rules are examined. We note that technical analysis has still short-term value in advanced, emerging and frontier markets. A cross-validation exercise highlights the importance of frequent rebalancing and the variability of profitability in trading with technical analysis.
Original languageEnglish
PublisherSSRN
DOIs
Publication statusPublished - 16 Nov 2018

Keywords

  • multiple hypothesis testing
  • false discovery rate
  • Stock exchange
  • Technical Analysis

Cite this

Technical Analysis and Discrete False Discovery Rate : Evidence from MSCI Indices. / Sermpinis, Georgios; Hassanniakalager, Arman; Stasinakis, Charalampos; Psaradellis, Ioannis.

SSRN, 2018.

Research output: Working paper

Sermpinis, Georgios ; Hassanniakalager, Arman ; Stasinakis, Charalampos ; Psaradellis, Ioannis. / Technical Analysis and Discrete False Discovery Rate : Evidence from MSCI Indices. SSRN, 2018.
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