"Technical Analysis in Financial Markets"

1	Introduction			1
	1.1	Financial practice		2
	1.2	Technical analysis and efficientmarkets. An overview		10
	1.3	Outline of the thesis		27
2	Success and Failure of Technical Trading Strategies in the Cocoa Futures Market			33
	2.1	Introduction		33
	2.2	Data		36
		2.2.1	Data series	36
		2.2.2	A continuous time series of futures prices	37
		2.2.3	Summary statistics	40
	2.3	Technical trading strategies		42
		2.3.1	The moving-average trading rule	43
		2.3.2	Trading range break-out	45
		2.2.3	Filter rule	45
	2.4	Performance measure		46
		2.4.1	Cocoa futures prices	46
		2.4.2	Pound-Dollar exchange rate	48
	2.5	Profatibility and predictability of trading rules		48
		2.5.1	The best 5 strategies	48
		2.5.2	The set of 5350 trading rules: economic significance	52
		2.5.3	The set of 5350 trading rules: statistical significance	53
	2.6	Bootstrap		59
		2.6.1	Bootstrap tests: methodology	59
		2.6.2	Bootstrap tests: empirical results	63
	2.7	Success and failure of technical trading		67
		2.7.1	The influence of the Pound-Dollar exchange rate	68

Table of Contents