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Do trend following strategies work in Chinese futures markets?

Author:  LI Bin (Department of Finance)¡¢ZHANG Di¡¢ZHOU Yang (Department of Finance)
Publication:  Journal of Futures Markets£¬37(12): 1226¨C1254
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.

¡¾Keywords¡¿Quantitative Investments, Trend Following, Commodity Futures, Out-of-sample Performance