Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230756
Authors: 
Chiu, Hsin-Yu
Chiang, Mi-Hsiu
Kuo, Wei-Yu
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-045
Abstract: 
A trading rule that draws on the empirical similarity concept is proposed to simulate the technical trading mentalityne that selectively perceives structural resemblances between market scenarios of the present and the past. In more than half of the nineteen futures markets that we test against for protability of this similarity-based trading rule, we nd evidence of predictive ability that is robust to data-snooping and transaction-cost adjust- ments. When aided by an exit strategy that liquidates the trader's positions across some evenly-spaced time points, this rule generates the most robust returns.
Subjects: 
empirical similarity
technical trading
futures markets
analogical reasoning
JEL: 
G11
G12
Document Type: 
Working Paper

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