Technical Analysis in Financial Markets
“It is found that 58% of the trading rules generate a strictly positive excess return, even if a correction is made for transaction costs, when applied to the LIFFE cocoa futures prices.”
AssetEquitiesfutures, indices
StrategyMomentum
TechniqueClassical time series
GeographyGlobalUS
Also stated: 1973–1986, Sharpe ratio, Excess return, Profit, t-statistic, Long-only, Price and volume, Fundamentals, Macro, benchmark, out-of-sample test, costs, universe of 34 stocks
Missing from abstract: multiple testing
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The paper's neighbourhoodMomentum and trend following by year
FamilyMomentum and trend following289Factor investing240Machine learning return prediction153News sentiment and text signals14818 more · 854
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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