Profitability of trading rules using nikkei futures transaction data

Mahendra Raj, Osama Sweidan

Research output: Contribution to journalArticlepeer-review


This paper investigates the profitability of technical trading rules in the intra-day Nikkei Index futures market. Technical trading strategies such as filter and channel rules are applied on 260,988 transactions prices for the Nikkei index futures traded in the Singapore Exchange during the nineties. The results of the study indicate that, when higher transaction costs are considered, it is not possible to obtain abnormal positive returns by applying simple technical trading rules. However, at lower transaction costs it is possible to obtain significant profits using these rules. This implies that professional traders with lower costs may be able to profit from these opportunities.

Original languageEnglish
Pages (from-to)97-140
Number of pages44
JournalInternational Research Journal of Finance and Economics
Publication statusPublished - Aug 2011
Externally publishedYes


  • Futures
  • Market efficiency
  • Technical rules
  • Tick data

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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