Do trend following strategies work in Chinese futures markets?

Abstract

We examine the performance of trend following strategies in Chinese commodity futures markets. We provide evidence that trend following-based technical trading rules yield better performance than the buy and hold strategy on both individual contracts and sorted portfolios. The outperformance is robust to transaction costs, data frequency, sub-prime crisis, shorting constraint, delayed execution, liquidity and parameters. Finally, the profitability of the trend following strategy may be subject to data snooping bias.