Performance of Technical Trading Rules: Evidence from the Crude Oil Market

This study investigates the debatable success of technical trading rules, through the years, on the trending energy market of Crude Oil. In particular, the large universe of 7846 trading rules proposed by Sullivan et al. (1999) divided in 5 families (filter rules, moving averages, support and resistance rules, channel breakouts, and on-balance volume averages) is applied to the daily prices of West Texas Intermediate (WTI) light sweet crude oil futures as well as United States Oil (USO) fund since 2006. We employ the k-familywise error rate (k-FWER) and false discovery rate (FDR) techniques proposed by Romano and Wolf (2007) and Bajgrowicz and Scaillet (2012) respectively, accounting for data snooping in order to identify significantly profitable trading strategies. Our findings explain that there is no persistent nature on rules performance contrary to the in-sample outstanding results, although tiny profits can be achieved in some periods. Overall, our results seem to be in favor of the adaptive markets hypothesis.