Arbeitspapier

Success and Failure of Technical Trading Strategies in the Cocoa Futures Market

A large set of 5350 trend following technica! trading rules is applied to LIFFEand CSCE cocoa futures prices, and tothe Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% ofthe trading rules generatespositive profits, even when correcting for transaction and borrowing costs, whenapplied to the LIFFE cocoa futuresprices. Moreover, a large set of trading rules exhibits statisticallysignificant forecasting power of the LIFFE cocoafutures series. On the other hand the same set of strategies performs poor onthe CSCE cocoa futures prices, withonly 18% generating positive net profits and hardly any statisticallysignificant forecasting power. The largedifference in the performance of technical trading may be attributed to acombination of the demand/supplymechanism in the cocoa market and an accident al influence of the Pound- Dollarexchange rate, reinforcing trendsin the LIFFE cocoa futures but weakening trends in the CSCE cocoa futures. Ourcase-study suggests a connectionbetween the succes or failure of technical trading and the relative magnitudesof trend and volatility of theunderlying series.

Sprache
Englisch

Erschienen in
Series: Tinbergen Institute Discussion Paper ; No. 01-016/1

Klassifikation
Wirtschaft
Thema
technical trading strategies
commodity futures
exchange rate
Kakaomarkt
Rohstoffderivat
Welt

Ereignis
Geistige Schöpfung
(wer)
Boswijk, Peter
Griffioen, Gerwin
Hommes, Cars
Ereignis
Veröffentlichung
(wer)
Tinbergen Institute
(wo)
Amsterdam and Rotterdam
(wann)
2001

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Boswijk, Peter
  • Griffioen, Gerwin
  • Hommes, Cars
  • Tinbergen Institute

Entstanden

  • 2001

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