Testing the Profitability of Simple Technical Trading Rules: A Bootstrap Analysis of the Italian Stock Market

The aim of this paper consists in testing the profitability of simple technical trading rules in the Italian stock market. By means of a recently developed bootstrap methodology we assess whether technical rules based on moving averages are capable of producing excess returns with respect to the Buy-and-Hold strategy. We find that in most cases the rules are profitable and the excess return is statistically significant. Howevever, the well-known problem of data-snooping, which seems to be confirmed by our analysis, requires some caution in the application of these methods.