  We investigate the performance of dynamic portfolios constructed using more
than 21,000 technical trading rules on 12 categorical and country-specific
markets over the 2004-2015 study period, on rolling forward structures of
different lengths. We also introduce a discrete false discovery rate (DFRD+/-)
method for controlling data snooping bias. Compared to the existing methods,
DFRD+/- is adaptive and more powerful, and accommodates for discrete p-values.
The profitability, persistence and robustness of the technical rules are
examined. Technical analysis still has short-term value in advanced, emerging
and frontier markets. Financial stress, the economic environment and market
development seem to affect the performance of trading rules. A cross-validation
exercise highlights the importance of frequent rebalancing and the variability
of profitability in trading with technical analysis.
