In his thesis, Fred tested 13 technical systems to 38 index-linked counters to find out whether the the technical systems were able to return "abnormal returns". In layman's term , can any of the 13 system return better than just simply buying and holding. If so, then it may be worthwhile to apply the trading systems tested to better grow your investing portfolio.
It proves that in the period tested, certain systems do give abnormal returns.
(1) Channel Breakouts gives the best abnormal returns ( 20-20, 20-10, 20-5)
(2) The RSi, Momentum and DMI do not give superior returns.
The results are back tested only , and hence, it is not forward tested.
As usual, past performance cannot guarantee future results and hence all results must be read with this limitation in mind.
My take is .... no matter what system you use, so long as it is consistently profitable over a substantial period of time ( at least 1,000 market days) then the system is robust and good.
There are many local thesis and good write-upson technical analysis on the local stock and futures market :
(1) http://psasir.upm.edu.my/291/1/549566_FEP_2004_10.pdf
(2) http://lcchong.files.wordpress.com/2011/06/my-trading-ideas-for-the-forex-and-fkli-spot-market-06072011.pdf
(3) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1706683
(4) http://umexpert.um.edu.my/papar_cv.php?id=AAAMJCAALAAC1MdAAk
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