Using a Mechanical Trading System to Evaluate Weak Form Efficiency in Cotton Futures Markets

James A. Yates and Carl E. Shafer


 
ABSTRACT

Cotton futures prices, during the period from January 1979 through January 1985, were evaluated with filter trading rules to determine whether profitable trading patterns existed. None of the ten percentage filters or the ten absolute filters yielded significant profits. These results appear to be inconsistent with those of similar studies in other commodity futures markets.



Reprinted from 1986 Proceedings: Beltwide Cotton Production Research Conferences pp. 313 - 314
©National Cotton Council, Memphis TN

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Document last modified Sunday, Dec 6 1998