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Stats › Backtesting en bewijs › Technical timing

Fourteen technical indicators all beat the historical average, and eleven macro variables did not

Technical average of 14 rules: 0.53%+0.53%Technical averageof 14 rulesTechnical principal components: 0.65%+0.65%Technical principalcomponentsAll combined technical plus macro: 1.79%+1.79%All combinedtechnical plus macro

Out of sample R squared for monthly S&P 500 equity risk premium forecasts, evaluation period January 1966 to December 2011. The macroeconomic principal components version is omitted because the source states its out of sample R squared is negative without giving a value. The combined forecast is significant at the 1% level.

All fourteen technical indicators tested had a positive out of sample R squared while only three of fourteen macroeconomic variables did. Combining both gives 1.79%, and 11.24% in recessions against minus 2.80% in expansions, so the predictability is concentrated in downturns.

14 of 14Technical indicators with a positive out of sample R squared
3 of 14Macroeconomic variables with a positive out of sample R squared
1.79%Out of sample R squared combining both, significant at 1%
11.24% against -2.80%The same measured in recessions against expansions

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Below this point there are 5 sections and 3 named sources, roughly 750 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.