Artikel
The profitability of technical analysis during the COVID-19 market meltdown
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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 5 ; Pages: 1-19
- Klassifikation
-
Management
- Thema
-
COVID-19
market efficiency
technical analysis
technical trading
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lento, Camillo
Gradojevic, Nikola
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2022
- DOI
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doi:10.3390/jrfm15050192
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Lento, Camillo
- Gradojevic, Nikola
- MDPI
Entstanden
- 2022
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