{"id":111784,"date":"2024-01-22T17:21:27","date_gmt":"2024-01-22T16:21:27","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/111784\/"},"modified":"2024-11-07T03:59:01","modified_gmt":"2024-11-07T02:59:01","slug":"profitability-of-technical-stock-trading-has-it-moved-from-daily-to-intraday-data","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/111784\/","title":{"rendered":"Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-111784","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&amp;P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However, when based on 30-minutes data the same models produce an average gross return of 7.2 percent per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2,580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming more efficient recently or to stock price trends shifting from 30-minutes prices to prices of higher frequencies.","onlinedate":"2008-07-10 02:00:00","lang":"English","publication_series":"","publication_date":"20080701","publication_date_year":"","publication_date_full":false,"publication_num_pages":"32","keywords":"[\"Technical trading\",\"momentum effect\",\"reversal effect\",\"stock price dynamics\"]","jelcodes":"[]","related_publications":"[]","pdf":330641,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"323","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":null,"types":[44410],"research_groups":[3491],"collaboration":"","persons":[3841],"persons_data":"[{\"personId\":3841,\"personName\":\"Stephan Schulmeister\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_contributiontoperiodical rendering_apa rendering_contributiontoperiodical_apa\\\"><span>Schulmeister, S.<\\\/span> (2008). <span>Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?<\\\/span> <span><em>WIFO Working Papers<\\\/em><\\\/span>, (323). <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/32880\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/32880<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_contributiontoperiodical rendering_vancouver rendering_contributiontoperiodical_vancouver\\\"><span>Schulmeister S<\\\/span>. <span class=\\\"title\\\"><span>Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?<\\\/span><\\\/span> <span>WIFO Working Papers<\\\/span>. 2008 Jul;(323).<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_contributiontoperiodical rendering_bibtex rendering_contributiontoperiodical_bibtex\\\"><div>@misc{e9672ead5cf746e89c060b921ab0800d,<\\\/div><div>  title    = \\\"Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?\\\",<\\\/div><div>  abstract = \\\"This paper investigates how technical trading systems exploit the momentum and reversal effects in the S\\\\&amp;P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However, when based on 30-minutes data the same models produce an average gross return of 7.2 percent per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2,580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming more efficient recently or to stock price trends shifting from 30-minutes prices to prices of higher frequencies.\\\",<\\\/div><div>  keywords = \\\"Technical trading, momentum effect, reversal effect, stock price dynamics, Technical trading, momentum effect, reversal effect, stock price dynamics\\\",<\\\/div><div>  author   = \\\"Stephan Schulmeister\\\",<\\\/div><div>  year     = \\\"2008\\\",<\\\/div><div>  month    = jul,<\\\/div><div>  language = \\\"English\\\",<\\\/div><div>  journal  = \\\"WIFO Working Papers\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_contributiontoperiodical rendering_ris rendering_contributiontoperiodical_ris\\\"><p>TY  - GEN<\\\/p><p>T1  - Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?<\\\/p><p>AU  - Schulmeister, Stephan<\\\/p><p>PY  - 2008\\\/7<\\\/p><p>Y1  - 2008\\\/7<\\\/p><p>N2  - This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&amp;P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However, when based on 30-minutes data the same models produce an average gross return of 7.2 percent per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2,580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming more efficient recently or to stock price trends shifting from 30-minutes prices to prices of higher frequencies.<\\\/p><p>AB  - This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&amp;P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s. However, when based on 30-minutes data the same models produce an average gross return of 7.2 percent per year between 1983 and 2007. These results do not change substantially when trading is tested over eight subperiods. In particular, there is no clear trend of a declining profitability of technical stock trading based on 30-minutes data. Those 25 models which performed best over the most recent subperiod produce a significantly higher gross return over the subsequent subperiod than all models. Between 2001 and 2007 the 2,580 models perform worse than over the 1980s and 1990s. This result could be due to stock markets becoming more efficient recently or to stock price trends shifting from 30-minutes prices to prices of higher frequencies.<\\\/p><p>KW  - Technical trading<\\\/p><p>KW  - momentum effect<\\\/p><p>KW  - reversal effect<\\\/p><p>KW  - stock price dynamics<\\\/p><p>KW  - Technical trading<\\\/p><p>KW  - momentum effect<\\\/p><p>KW  - reversal effect<\\\/p><p>KW  - stock price dynamics<\\\/p><p>M3  - WIFO series<\\\/p><p>JO  - WIFO Working Papers<\\\/p><p>JF  - WIFO Working Papers<\\\/p><p>ER  - <\\\/p><\\\/div>\"}","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v28.0 (Yoast SEO v28.0) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data? 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