Boswijk, H.P., Griffioen, G.A.W., Hommes, C.H. - Society for Computational Economics - SCE - 2001
A large set of 5350 trend following technical trading rules is applied to LIFFE and CSCE cocoa futures prices, and to the Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% of the trading rules generates positive profits, even when correcting for transaction and borrowing...