Evaluating the predictive power of intraday technical trading in China's crude oil market

被引：1
作者：
Jin, Xiaoye [1 ]
机构：
[1] East China Univ Polit Sci & Law, Int Sch Law & Finance, Room 201,Ming Shi Bldg,555 Long Yuan Rd, Shanghai 201620, Peoples R China
来源：
JOURNAL OF FORECASTING | 2022年 / 41卷 / 07期
关键词：
data snooping bias; INE crude oil; intraday predictability; technical analysis; transaction costs; FALSE DISCOVERIES; PERFORMANCE; PROFITABILITY; FREQUENCY; PRICES; RULES; RATES; RISK; GAIN;
D O I：
10.1002/for.2873
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper evaluates the predictive power of intraday technical trading in China's crude oil market. Even considering different subsample periods, data frequencies and frequencies of rebalancing portfolio of trading rules, an investor is unlikely to select trading rules with persistent out-of-sample performance in advance while taking into account data snooping bias and transaction costs. This indicates that the predictive power of intraday technical trading in China's crude oil market is illusory. Overall, our results seriously call into question the predictive power of technical trading in crude oil markets has been gradually shifting from daily data to intraday data.
引用
收藏
页码：1416 / 1432
页数：17
相关论文
共 48 条
[1]   Modeling and forecasting realized volatility [J].
Andersen, TG ;
Bollerslev, T ;
Diebold, FX ;
Labys, P .
ECONOMETRICA, 2003, 71 (02) :579-625
[2]   Technical trading revisited: False discoveries, persistence tests, and transaction costs [J].
Bajgrowicz, Pierre ;
Scaillet, Olivier .
JOURNAL OF FINANCIAL ECONOMICS, 2012, 106 (03) :473-491
[3]   False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas [J].
Barras, Laurent ;
Scaillet, Olivier ;
Wermers, Russ .
JOURNAL OF FINANCE, 2010, 65 (01) :179-216
[4]   Does intraday technical trading have predictive power in precious metal markets? [J].
Batten, Jonathan A. ;
Lucey, Brian M. ;
McGroarty, Frank ;
Peat, Maurice ;
Urquhart, Andrew .
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2018, 52 :102-113
[5]   CONTROLLING THE FALSE DISCOVERY RATE - A PRACTICAL AND POWERFUL APPROACH TO MULTIPLE TESTING [J].
BENJAMINI, Y ;
HOCHBERG, Y .
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 1995, 57 (01) :289-300
[6]   Gain, loss, and asset pricing [J].
Bernardo, AE ;
Ledoit, O .
JOURNAL OF POLITICAL ECONOMY, 2000, 108 (01) :144-172
[7]   SIMPLE TECHNICAL TRADING RULES AND THE STOCHASTIC PROPERTIES OF STOCK RETURNS [J].
BROCK, W ;
LAKONISHOK, J ;
LEBARON, B .
JOURNAL OF FINANCE, 1992, 47 (05) :1731-1764
[8]   Crude oil futures trading and uncertainty [J].
Czudaj, Robert L. .
ENERGY ECONOMICS, 2019, 80 :793-811
[9]   The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks [J].
Duvinage, Matthieu ;
Mazza, Paolo ;
Petitjean, Mikael .
QUANTITATIVE FINANCE, 2013, 13 (07) :1059-1070
[10]   Skewness preference and the popularity of technical analysis [J].
Ebert, Sebastian ;
Hilpert, Christian .
JOURNAL OF BANKING & FINANCE, 2019, 109
12345