Active investment strategies in the Spanish futures market: a solution to avoid data snooping bias

ABSTRACT

This article provides a solution to avoid the data snooping problem in the implementation of active investment strategies in the Spanish financial futures markets. The work sets out to evaluate the results obtained with optimum active investment strategies, grounded in the use of exponential moving averages, and to determine their consistency in periods subsequent to those for which they were obtained. To this end, prices were used with data of different time frequencies, different periods for calculating moving averages and different time ranges. In global terms, the differences between the yield of these active strategies and those of a passive nature are statistically significant. The weak efficient market hypothesis is, therefore, rejected for trading in futures on the IBEX-35 stock market index.

KEYWORDS:

• Data snooping
• moving average
• technical analysis

JEL CLASSIFICATION:

• G13
• G14

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

The authors would like to thank the financial support provided by Emilio Soldevilla Foundation for Research and Development in Business Economics (FESIDE).