Simple Technical Trading Rules and the Stochastic Properties of Stock Returns
用1897至1986年的道琼斯指数检验了移动平均和交易区间突破两种简单交易规则，发现这些策略的收益不支持随机游走等常见模型，买入信号收益更高且波动更小，卖出信号收益为负。
ABSTRACT This paper tests two of the simplest and most popular trading rules—moving average and trading range break—by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, our results provide strong support for the technical strategies. The returns obtained from these strategies are not consistent with four popular null models: the random walk, the AR(1), the GARCH‐M, and the Exponential GARCH. Buy signals consistently generate higher returns than sell signals, and further, the returns following buy signals are less volatile than returns following sell signals, and further, the returns following buy signals are less volatile than returns following sell signals. Moreover, returns following sell signals are negative, which is not easily explained by any of the currently existing equilibrium models.