Some New Filter Rule Tests: Methods and Results
检验机械交易规则在1970-1982年间的盈利性，发现对道琼斯30指数中幸存股票，最佳过滤规则在考虑场内交易者交易成本后仍有统计显著的利润，挑战了早期研究结论。
Mechanical trading rules seem to have more potential than previous tests found. Fama and Blume (1966), looking at the Dow 30 of the late 1950s, found no profits for the best (Vipercent) rule after adjusting for transactions costs. Fifteen of these stocks looked profitable their sample, however; for the same rule, the surviving fourteen show statistically significant profits for 1970-1982 for transactions costs obtainable by floor traders. The test used here assumes constant risk premia, or more generally, that risk premia are on average approximately the same on days in as for the total period.