Technical trading revisited: False discoveries, persistence tests, and transaction costs

Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing

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On Persistence in Mutual Fund Performance

Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283 · see citing works

The control of the false discovery rate in multiple testing under dependency

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Statistical significance for genomewide studies

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A Direct Approach to False Discovery Rates

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Evidence of Predictable Behavior of Security Returns

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The Stationary Bootstrap

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Simple technical trading rules and the stochastic properties of stock returns

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The positive false discovery rate: a Bayesian interpretation and the q-value

Storey, J. D. (2003) · The Annals of Statistics · doi:10.1214/aos/1074290335 · Cited by 2,204 · see citing works

A Reality Check for Data Snooping

White, H. (2000) · Econometrica · doi:10.1111/1468-0262.00152 · Cited by 1,851 · see citing works

Institutional Investors and Equity Prices

Gompers, P. A., & Metrick, A. (2001) · The Quarterly Journal of Economics · doi:10.1162/003355301556392 · Cited by 1,746 · see citing works

Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach

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Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds

Fung, W., & Hsieh, D. A. (1997) · Review of Financial Studies · doi:10.1093/rfs/10.2.275 · Cited by 1,330 · see citing works

A Test for Superior Predictive Ability

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The market for borrowing stock

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Data-Snooping Biases in Tests of Financial Asset Pricing Models

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Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation

Lo, A. W., Mamaysky, H., & Wang, J. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00265 · Cited by 1,131 · see citing works

Data-snooping, technical trading rule performance and the Bootstrap

Sullivan, R., Timmermann, A., & White, H. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00163 · Cited by 1,028 · cited 2× · see citing works

Stepwise Multiple Testing as Formalized Data Snooping

Romano, J. P., & Wolf, M. (2005) · Econometrica · doi:10.1111/j.1468-0262.2005.00615.x · Cited by 1,019 · see citing works

Short-sale constraints and stock returns

Jones, C. M., & Lamont, O. A. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00224-6 · Cited by 899 · see citing works

Using genetic algorithms to find technical trading rules

Allen, F., & Karjalainen, R. (1999) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00052-x · Cited by 855 · see citing works

Filter Rules and Stock-Market Trading

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Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006) · Review of Financial Studies · doi:10.1093/rfs/hhj020 · Cited by 830 · see citing works

False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

BARRAS, L., SCAILLET, O., & WERMERS, R. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2009.01527.x · Cited by 825 · see citing works

Strategic asset allocation

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Securities lending, shorting, and pricing

Duffie, D., Garleanu, N. B., & Pedersen, L. H. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00226-x · Cited by 703 · see citing works

Performance Persistence

Brown, S. J., & Goetzmann, W. N. (1995) · The Journal of Finance · doi:10.1111/j.1540-6261.1995.tb04800.x · Cited by 701 · see citing works

Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

Keim, D. B., & Madhavan, A. (1997) · Journal of Financial Economics · doi:10.1016/s0304-405x(97)00031-7 · Cited by 653 · see citing works

Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach

Neely, C. J., Weller, P., & Dittmar, R. (1997) · Journal of Financial and Quantitative Analysis · doi:10.2307/2331231 · Cited by 643 · see citing works

Do hedge funds deliver alpha? A Bayesian and bootstrap analysis☆

Kosowski, R. L., Naik, N. Y., & Teo, M. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.12.009 · Cited by 545 · see citing works

Transaction costs and the small firm effect

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Stocks are special too: an analysis of the equity lending market

Geczy, C. C., Musto, D. K., & Reed, A. V. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(02)00225-8 · Cited by 511 · see citing works

Adapting to unknown sparsity by controlling the false discovery rate

Abramovich, F., Benjamini, Y., Donoho, D. L., & Johnstone, I. M. (2006) · The Annals of Statistics · doi:10.1214/009053606000000074 · Cited by 455 · see citing works

The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis

Menkhoff, L., & Taylor, M. (2006) · Warwick Research Archive Portal (University of Warwick) · Cited by 451 · see citing works

Optimal Portfolio Allocation under Higher Moments

Jondeau, É., & Rockinger, M. (2006) · European Financial Management · doi:10.1111/j.1354-7798.2006.00309.x · Cited by 411 · see citing works

Return Reversals, Idiosyncratic Risk, and Expected Returns

Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp015 · Cited by 388 · see citing works

Market efficiency and the returns to technical analysis

Bessembinder, H., & Chan, K. (1998) · Financial Management · doi:10.2307/3666289 · Cited by 324 · see citing works

A stochastic process approach to false discovery control

Genovese, C., & Wasserman, L. (2004) · The Annals of Statistics · doi:10.1214/009053604000000283 · Cited by 293 · see citing works

Naïve trading rules in financial markets and Wiener-Kolmogorov prediction theory: A study of “technical analysis”

Neftci, S. N. (1991) · The Journal of Business · doi:10.1086/296551 · Cited by 271 · see citing works

Economic Forecasting

Elliott, G., & Timmermann, A. (2008) · Journal of Economic Literature · doi:10.1257/jel.46.1.3 · Cited by 239 · see citing works

Testing the predictive ability of technical analysis using a new stepwise test without data snooping bias

Hsu, P., Hsu, Y., & Kuan, C. (2010) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2010.01.001 · Cited by 187 · see citing works

FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES

Romano, J. P., Shaikh, A. M., & Wolf, M. (2007) · Econometric Theory · doi:10.1017/s0266466608080171 · Cited by 185 · see citing works

Reexamining the Profitability of Technical Analysis with Data Snooping Checks

Hsu, P. (2005) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbi026 · Cited by 181 · see citing works

The Dow Theory: William Peter Hamilton's Track Record Reconsidered

Brown, S. J., Goetzmann, W. N., & Kumar, A. (1998) · The Journal of Finance · doi:10.1111/0022-1082.00054 · Cited by 161 · see citing works

Residual-Based Block Bootstrap for Unit Root Testing

Paparoditis, E., & Politis, D. N. (2003) · Econometrica · doi:10.1111/1468-0262.00427 · Cited by 149 · see citing works

Technical Analysis and Liquidity Provision

Kavajecz, K. A., & Odders-White, E. R. (2004) · Review of Financial Studies · doi:10.1093/rfs/hhg057 · Cited by 146 · see citing works

Profits from Technical Trading Rules

Ready, M. J. (2002) · Financial Management · doi:10.2307/3666314 · Cited by 137 · see citing works

Multiple hypotheses testing and expected number of type I. errors

Finner, H., & Roters, M. (2002) · The Annals of Statistics · doi:10.1214/aos/1015362191 · Cited by 107 · see citing works

On false discovery control under dependence

Wu, W. B. (2008) · The Annals of Statistics · doi:10.1214/009053607000000730 · Cited by 95 · see citing works

Some Results on the Control of the False Discovery Rate under Dependence

Farcomeni, A. (2006) · Scandinavian Journal of Statistics · doi:10.1111/j.1467-9469.2006.00530.x · Cited by 90 · see citing works

Economic Implications of Changing Share Ownership

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Technical analysis compared to mathematical models based methods under parameters mis-specification

Christophette Blanchet-scalliet, A., Diop, A., Gibson, R., Talay, D., & Tanré, É. (2006) · Journal of Banking & Finance · doi:10.1016/j.jbankfin.2006.10.017 · Cited by 28 · see citing works

Evaluating Dynamic Strategies: The Free Lunch Was No BanquetPreprint

Eric Jacquier, A., & Yao, T. (2003) · SSRN Electronic Journal · doi:10.2139/ssrn.353261 · Cited by 1 · see citing works

Control of the false discovery rate under dependence using the bootstrap and subsampling

Romano, J. P., Shaikh, A. M., & Wolf, M. (2008) · Test · doi:10.1007/s11749-008-0126-6 · Cited by 1 · see citing works

… and the Cross-Section of Expected Returns

Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119 · see citing works

MultipleTesting.com: A tool for life science researchers for multiple hypothesis testing correction

Menyhart, O., Weltz, B., & Győrffy, B. (2021) · PLOS ONE · doi:10.1371/journal.pone.0245824 · Cited by 216 · see citing works

Factor Models, Machine Learning, and Asset Pricing

Giglio, S., Kelly, B., & Xiu, D. (2022) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-101521-104735 · Cited by 187 · see citing works

Technical trading: is it still beating the foreign exchange market?

Hsu, P.-H., Taylor, M. P., & Wang, Z. (2016) · Journal of International Economics · doi:10.1016/j.jinteco.2016.03.012 · Cited by 113 · see citing works

Technical trading and cryptocurrencies

Hudson, R., & Urquhart, A. (2021) · Annals of Operations Research · doi:10.1007/s10479-019-03357-1 · Cited by 90 · see citing works

FX technical trading rules can be profitable sometimes!

Zarrabi, N., Snaith, S., & Coakley, J. (2017) · International Review of Financial Analysis · doi:10.1016/j.irfa.2016.12.010 · Cited by 32 · see citing works

Performance of technical trading rules: evidence from the crude oil market

Psaradellis, I., Laws, J., Pantelous, A. A., & Sermpinis, G. (2019) · The European Journal of Finance · doi:10.1080/1351847x.2018.1552172 · Cited by 27 · see citing works

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction CostsPreprint

Bajgrowicz, P., & Olivier Scaillet, B. (2011) · SSRN Electronic Journal · doi:10.2139/ssrn.1095202 · Cited by 74 · see citing works

Performance of technical trading rules: evidence from the crude oil market

Psaradellis, I., Laws, J., Pantelous, A. A., & Sermpinis, G. (2019) · The European Journal of Finance · doi:10.1080/1351847x.2018.1552172 · Cited by 27 · see citing works

Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI IndicesPreprint

Sermpinis, G., Hassanniakalager, A., Stasinakis, C., & Psaradellis, I. (2018) · SSRN Electronic Journal · doi:10.2139/ssrn.3284621 · Cited by 2 · see citing works

Data-snooping, technical trading rule performance and the Bootstrap

Sullivan, R., Timmermann, A., & White, H. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00163 · Cited by 1,028 · see citing works

Re-Examining the Profitability of Technical Analysis with White’s Reality CheckPreprint

Hsu, P., & Kuan, C. (2004) · RePEc: Research Papers in Economics · Cited by 14 · see citing works