Algorithmic setups for trading popular U.S. ETFs

Artikel

In this research, we test whether common trading oscillators can outperform the buy-and-hold strategy (B&H) using six popular ETFs for the period of the last 20 years. We use the original setups of those oscillators and also other setups or oscillators combinations in order to achieve the best past performances. We found that the Relative Strength Index (RSI) combined with Chaikin Money Flow (CMF) gained positive returns for all examined ETFs and also outperformed by 79% the corresponding buy-and-hold strategy for the XLF. The Commodity Channel Index (CCI) and Bollinger Bands (BB) were found to be the best technical tools for trading the examined ETFs. While the CCI performs better for the more volatile ETFs (XLF and XLK), the BB was superior for trading IWM and XLI which are less volatile. We also recommend the CCI strategy for trading the SPY. No technical tools were found to be more effective than B&H strategy for the QQQ.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-9 ; Abingdon: Taylor & Francis

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets
• Thema: algorithmic ; trading ; ETFs ; oscillators ; buy and hold

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cohen, Gil
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1080/23322039.2020.1720056
• Handle: http://hdl.handle.net/10419/245273
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ