Does Market Volatility Improve Predictability of Technical Analysis?
Chuang, Lin and Kuo (2012) study market timing and tactical asset allocation in equities. The abstract mentions excess returns and profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“When applied to the Dow Jones Industrial Average index, the Superior Predictive Ability test by Hansen (2001) shows that the VMA rule outperforms other rules in profitability.”
AssetEquitiesindices
StrategyMarket timing
ClaimExcess returnprofit
InputsPrice and volume
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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