Brock, William; Lakonishok, Josef; LeBaron, Blake - In: Journal of Finance 47 (1992) 5, pp. 1731-64
This paper tests two of the simplest and most popular trading rules--moving average and trading range break--by utilizing the Dow Jones Index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall, their results provide strong support for...