The notion of returns to scale (RTS) is well-established in data envelopment analysis (DEA). In the variable returns-to-scale production technology, the RTS characterization is closely related to other scale characteristics, such as the scale elasticity, most productive scale size (MPSS), and global RTS types indicative of the direction to MPSS. In recent years, a number of alternative production technologies have been developed in the DEA literature. Most of these technologies are polyhedral, and hence are closed and convex This paper tests two of the simplest and most popular trading rules--moving average and trading range break, by utilizing a very long data series, the Dow Jones index from 1897 to 1986. Standard statistical analysis is extended through the use of bootstrap techniques. Overall our results provide strong support for the technical strategies that are explored. The returns obtained from buy (sell) signals are not consistent with the three popular null models: the random walk, the AR(1), and the GARCH-M. Consistently, buy signals generate higher returns than sell signals. Moreover, returns following sell signals are negative which is not easily explained by any of the currently existing equilibrium models.