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Applied Economics Letters Volume 18, 2011 - Issue 3
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Original Articles

Filter rules: follow the trend or take the contrarian approach?

James Kozyra Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, Ontario, P7B 5E1, Canada
&
Camillo Lento Faculty of Business Administration, Lakehead University, 955 Oliver Road, Thunder Bay, Ontario, P7B 5E1, CanadaCorrespondence[email protected]
Pages 235-237 | Published online: 18 Oct 2010

References

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  • Gencay , R. 1998 . The predictability of security returns with simple technical trading rules . Journal of Empirical Finance , 5 : 347 – 59 .
  • Lento , C. 2009 . Combined signal approach: further evidence from the Asian-Pacific equity markets . Applied Economics Letters , 16 : 749 – 53 .
  • Levich , R. M. and Thomas , L. R. 1993 . The significance of technical trading rule profits in the foreign exchange market: a bootstrap approach . Journal of International Finance and Money , 12 : 451 – 74 .
  • Neely , C. , Weller , P. and Dittmar , P. 1997 . Is technical analysis in the foreign exchange market profitable? A genetic programming approach . Journal of Financial and Quantitative Analysis , 32 : 405 – 26 .
  • Sweeney , R. J. 1988 . Some new filter rule tests: methods and results . Journal of Financial and Quantitative Analysis , 23 : 285 – 300 .
  • Whaley , R. E. 2009 . Understanding the VIX . The Journal of Portfolio Management , 35 : 98 – 105 .

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