LI Bin (Department of Finance)、ZHANG Di、ZHOU Yang (Department of Finance)

Publication:

Journal of Futures Markets，37(12): 1226–1254

Abstract:

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.

【Keywords】Quantitative Investments, Trend Following, Commodity Futures, Out-of-sample Performance