Do trend following strategies work in Chinese futures markets?
研究了趋势跟踪策略在中国商品期货市场的表现，发现其优于买入持有策略，且对交易成本、数据频率等稳健，但可能受数据窥探偏差影响。
We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following‐based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub‐prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.