caa a22 4500 386308780 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198809 xx s 000 0 eng 10.2307/2331068 doi S0022109000013120 pii (NATIONALLICENCE)cambridge-10.2307/2331068 Sweeney Richard J. Some New Filter Rule Tests: Methods and Results [Elektronische Daten] [Richard J. Sweeney] Mechanical trading rules seem to have more potential than previous tests found. Fama and Blume (1966), looking at the Dow 30 of the late 1950s, found no profits for the best (½-percent) rule after adjusting for transactions costs. Fifteen of these stocks looked profitable in their sample, however; for the same rule, the surviving fourteen show statistically significant profits for 1970-1982 for transactions costs obtainable by floor traders. The test used here assumes constant risk premia, or more generally, that risk premia are on average approximately the same on days "in” as for the total period. Copyright © School of Business Administration, University of Washington 1988 Journal of Financial and Quantitative Analysis Cambridge University Press 23/3(1988-09), 285-300 0022-1090 23:3<285 1988 23 JFQ https://doi.org/10.2307/2331068 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331068 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Sweeney Richard J. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/3(1988-09), 285-300 0022-1090 23:3<285 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge