Many so-called return predictability anomalies disappear over time. One theoretical explanation is that investors arbitrage profits away through their trading. But investors have used technical analysis strategies for ages, so this argument may not necessarily hold for seemingly profitable...

In a true out of sample test we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test is free of the sample selection bias, data mining, hindsight bias, or any of the other usual biases that may affect results in our...