This paper investigates the profitability of technical trading rules in US futures markets over the
1985-2004 period. To account for data snooping biases, we evaluate statistical significance of
performance across technical trading rules using White’s Bootstrap Reality Check test and
Hansen’s Superior Predictive Ability test. These methods directly quantify the effect of data
snooping by testing the performance of the best rule in the context of the full universe of
technical trading rules. Results show that the best rules generate statistically significant
economic profits only for two of 17 futures contracts traded in the US. This evidence indicates
that technical trading rules generally have not been profitable in US futures markets after
correcting for data snooping biases.