The Stability of Moving Average Technical Trading Rules on the Dow Jones Index

This paper reafirms previous results that show a distinct change in performance of moving average trading rules on the Dow Jones Index over the past 10 years relative to the previous 90 years. The performance in forecasting conditional means has changed significantly. In contrast to this is the fact that technical rules continue to forecast conditional variances in a similar fashion to the previous 90 years. Several tests are performed to demonstrate the robustness of these results over alternative trading mechnasims. Finally, the results are discussed in the context of datasnooping versus structural changes in the Dow.

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