This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

The study investigates profitability and price effects of 1024 moving average and momentum models in the DM/dollar market (1973/99) as well as in the yen/dollar market (1976/99). The main results are as follows. First, each of these models would have produced an positive return over the entire...