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Do trend following strategies work in Chinese futures markets?
Author(s) -
Li Bin,
Zhang Di,
Zhou Yang
Publication year - 2017
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21856
Subject(s) - futures contract , market liquidity , profitability index , trading strategy , trend following , work (physics) , constraint (computer aided design) , yield (engineering) , transaction cost , econometrics , economics , financial economics , computer science , business , monetary economics , microeconomics , finance , mathematics , mechanical engineering , materials science , geometry , metallurgy , engineering
We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following‐based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub‐prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.