The performance of managed portfolios is often used to evaluate the effectiveness of investment managers. Such evaluation, however, does not serve to measure the effectiveness of investment decision rules. This article focuses on the evaluation of the decision rules themselves in order to determine whether a technically oriented investment strategy can consistently obtain superior portfolio performance over an extended period of time. The strategy tested in this study appears to have the ability to predict stock price movements and to obtain superior portfolio performance at a level of risk that is significantly lower than normal market risk.
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