By the same authors

From the same journal

Breaking Into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500

Research output: Contribution to journalArticle

Standard

Breaking Into the Blackbox : Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500. / Clare, Andrew ; Seaton, James; Smith, Peter Nigel; Thomas, Stephen .

In: Journal of Asset Management, Vol. 14, No. 3, 06.2013, p. 182-194.

Research output: Contribution to journalArticle

Harvard

Clare, A, Seaton, J, Smith, PN & Thomas, S 2013, 'Breaking Into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500', Journal of Asset Management, vol. 14, no. 3, pp. 182-194.

APA

Clare, A., Seaton, J., Smith, P. N., & Thomas, S. (Accepted/In press). Breaking Into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500. Journal of Asset Management, 14(3), 182-194.

Vancouver

Clare A, Seaton J, Smith PN, Thomas S. Breaking Into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500. Journal of Asset Management. 2013 Jun;14(3):182-194.

Author

Clare, Andrew ; Seaton, James ; Smith, Peter Nigel ; Thomas, Stephen . / Breaking Into the Blackbox : Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500. In: Journal of Asset Management. 2013 ; Vol. 14, No. 3. pp. 182-194.

Bibtex - Download

@article{796c99014c204dd2b1408fa4e6e68a41,
title = "Breaking Into the Blackbox: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500",
abstract = "In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index. In particular, using the latter rule we find that popular stop loss rules do not add value and that monthly end of month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing.",
author = "Andrew Clare and James Seaton and Smith, {Peter Nigel} and Stephen Thomas",
year = "2013",
month = "6",
language = "English",
volume = "14",
pages = "182--194",
journal = "Journal of Asset Management",
number = "3",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Breaking Into the Blackbox

T2 - Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500

AU - Clare, Andrew

AU - Seaton, James

AU - Smith, Peter Nigel

AU - Thomas, Stephen

PY - 2013/6

Y1 - 2013/6

N2 - In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index. In particular, using the latter rule we find that popular stop loss rules do not add value and that monthly end of month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing.

AB - In this paper we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average trading rule, dominate the long only, passive investment in the index. In particular, using the latter rule we find that popular stop loss rules do not add value and that monthly end of month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing.

M3 - Article

VL - 14

SP - 182

EP - 194

JO - Journal of Asset Management

JF - Journal of Asset Management

IS - 3

ER -