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Trading of twelve technical system is simulated for a portfolio of twelve commodities from 1978 to 1984 in order to test for market disequilibrium. Results differ substantially by trading system. Seven systems produced significant gross returns. Four of the twelve trading sytems produced significant net returns and significant risk-adjusted returns. These results show that disequilibrium models are a better description of short-run futures price movements than the random walk model. They also suggest that there may be additional causes of disequilibrium beyond transaction costs and risk aversion.
Lukac et al. (Sun,) studied this question.