Advanced Trading Rules Book

	Foreword
	List of contributors
	Introduction	1
1	Technical trading rules and regime shifts in foreign exchange	6
2	Foundations of technical analysis: computational algorithms, statistical inference and empirical implementation	42
3	Mean-variance analysis, trading rules and emerging markets	112
4	Expected returns of directional forecasters	122
5	Some exact results for moving-average trading rules with applications to UK indices	152
6	The portfolio distribution of directional strategies	174
7	The profits to technical analysis in foreign exchange markets have not disappeared	183
8	The economic value of leading edge techniques for exchange rate prediction	249
9	Is more always better? Head-and-shoulders and filter rules in foreign exchange markets	264
10	Informative spillovers in the currency markets: a practical approach through exogenous trading rules	279
11	Stop-loss rules as a monitoring device: theory and evidence from the bond futures market	312
12	Evolving technical trading rules of S&P 500 futures	345
13	Commodity trading advisors and their role in managed futures	367
14	BAREP futures funds	388
15	The need for performance evaluation in technical analysis	419
	Index	441