A collection of trading rules from various sources that may be useful for traders and general investors.
Extract from an academic study ( pdf file, 270Kb) of traditional TA rules like ma’s, channels, support/resistance levels, etc.
“A further purpose of our study is to address this issue by constructing a universe of nearly 8,000 parameterizations of trading rules which are applied to the Dow Jones Industrial Average over a 100-year period from 1897 to 1996. We use the same data set as Brock, Lakonishok and LeBaron (BLL) to investigate the potential effects of data-snooping in their experiment. Our results show that, during the sample originally investigated by BLL, 1897-1986, certain trading rules did indeed outperform the benchmark, even after adjustment is made for data-snooping. We base our evaluation both on mean returns and on a version of the Sharpe ratio which adjusts for total risk. Since BLL’s study finished in 1986, we benefit from having access to another 10 years of data on the Dow Jones portfolio. We use this data to test whether their results hold out of-sample. Interestingly, we find that this is not the case: the probability that the best performing trading rule did not outperform the benchmark during this period is nearly 12 percent, suggesting that, at conventional levels of significance, there is scant evidence that technical trading rules were of any economic value during the period 1987-1996.”