The Profitability of Technical Analysis during the COVID-19 Market Meltdown-Reference-Cited by-同舟云学术

The Profitability of Technical Analysis during the COVID-19 Market Meltdown

Published:2022-04-20 Issue:5 Volume:15 Page:192
ISSN:1911-8074
Container-title:Journal of Risk and Financial Management
language:en
Short-container-title:JRFM

Author:

Lento Camillo^ORCID,Gradojevic Nikola^ORCID

Abstract

This article explores the profitability of technical trading rules around the COVID-19 pandemic market meltdown for the S&P 500 index, Bitcoin, Comex gold spot, crude oil WTI, and the VIX. Trading rule profits are estimated from January to May 2020, including three sub-periods, on a high-frequency data set. The results reveal that the trading rules can beat the buy-and-hold trading strategy. However, only the Bollinger Bands and trading range break-out rules become profitable after transaction costs during the market crash. Moreover, it is found that composite trading signals effectively improve the profitability of technical analysis around the COVID-19 market crash.

Publisher

MDPI AG

Subject

General Medicine

Link

https://www.mdpi.com/1911-8074/15/5/192/pdf

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2. Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset Pricing Program, Ohio State University, Purdue University, the Santa Fe Institute, Rutgers University, Stanford University, University of California, Berkeley, University of Michigan, University of Pennsylvania, University of Utah, Washington University (St. Louis), and the 1995 AFA Meetings in Washington, D.C. We are particularly grateful to Kenneth R. French (the referee), and G. William Schwert (the editor) for their suggestions. Financial support from the National Science Foundation is gratefully acknowledged by the first author and from the Academy of Finland by the second and from the Geewax-Terker Program in Financial Instruments by both. Correspondence should be addressed to Franklin Allen, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367.1

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