Chapter 4 Technical Trading Rule Performance
in Amsterdam Stock Exchange Listed Stocks
4.1 Introduction
In Chapter 3 we have shown that objective computerized trend-following technical trading techniques applied to the Dow-Jones Industrial Average (DJIA) and to stocks listed in the DJIA in the period 1973-2001 are not statistically significantly superior to a buy-and-hold benchmark strategy after correction for data snooping and transaction costs. In this chapter we use a similar approach to test whether technical trading shows statistically significant forecasting power when applied to the Amsterdam Stock Exchange Index (AEX-index) and to stocks listed in the AEX-index in the period 1983-2002.In section 4.2 we list the stock price data examined in this chapter and we present and discuss the summary statistics. We refer to the sections 3.3, 3.4 and 3.5 of Chapter 3 for the discussions on the set of technical trading rules applied, the computation of the performance measures and finally the problem of data snooping. Section 4.3 presents the empirical results of our study. In section 4.4 we test whether recursively optimizing and updating our technical trading rule set shows genuine out-of-sample forecasting ability. Finally, section 4.5 summarizes and concludes.
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