From July 29th until 31st, the World Finance Conference took place at St. Johns University in New York, U.S.A. I was invited to present my new findings on timing strategies and the findings of the joint work with David. It was a real pleasure! Thank you to all organizers and hosts!
According to the efficient market hypothesis (EFM), technical trading rules should not have prediction power. However, a significant number of academic studies confirm at least slight excess returns. By applying parametric and historical simulation techniques, we show the connection between timing success and statistical properties of the underlying. Therefore, we check the time series data of prior studies with respect to their statistical properties in order to explain their findings. As long as drift, volatility and autocorrelation of a time series are unpredictable, there seems to be no benefit from technical trading rules.